I think git LFS is having same issues as Mercurial Large Files had in the beginning. It's going to get there, but it takes time. We're considering that Mercurial LargeFiles support is much more mature.
In regards to Git vs HG. We see that most of the users take advantage of plugin system that Mercurial has, eg Facebook with their plugins for handling huge monorepos.
It also adds some advanced workflows, eg doing a code-review using phases and secret commits makes it much more pleasant to work compared to Git.
FileLocking is quite easy with Mercurial actually.
We're working on some other approach on this actually and want to work on a better system that emulates what SVN/Perforce have and bring it to Git and Mercurial with RhodeCode as the tool to have at least basic file permissions.
Not OP, but I tried Annex with Unreal 4 and the symlinks caused problems with the editor. Obviously that's a UE4 issue rather than an Annex issue, but it meant LFS was the only reasonable option at the time when I tested (~12 months ago).
We've also built File Locking in specific to make it working with big assets a bit safer.
Windows support in Git can definitely be improved, though luckily there are many great Git clients available nowadays.