Yeah, I just learned that I should use ConEmu + Putty. At least now, I don't get weird colors and a grey background filling all when I open vim.
But I keep missing having something like Yakuake or Konsole.
Windows + Vim: https://i.imgur.com/soTIhNy.png
SSH + Vim: https://i.imgur.com/aLs9ACy.png