You can run window managers just fine with X on windows. I use i3 and bspwm on my surface almost anytime I turn that machine on (I have other Linux laptops I use as well and the config is one rsync away usually). Just be sure that whichever x server you run doesn't run its built in manager. With VcXsrv you can do this via XLaunch.
Yes, but won't that only work with apps compiled with X? If I wanted to use the Windows version of Firefox and Visual Studio or something in the panels of XMonad on Windows, would that work?
Right. You can't use xmonad to tile windows apps in this kind of setup. Generally firefox and visual studio are screen hogs so I tend to alt-tab for apps like that, which works fine in combination with the fullscreen X server.