I am a developer (Win32; actually started with Win16 and DOS before that) and consider myself a "power user" of Windows, yet never had the feeling you describe. True, the -nix world has a great CLI shell, and some things are much easier there, but on the other hand, the GUI experience is (or at least used to be...) incomparable. AFAIK tiny single-exe-file no-install portable GUI applications just don't exist in the -nix world. I agree that PowersHell is a mess --- I tend to stay away from it and use CMD instead.
In this particular case, it is very strange that they claim something which appears like it shouldn't be OS-dependent at all (Python is supposed to be portable, and there's no GUI stuff) would require a specific OS. A new Microsoft indeed, but unfortunately not one I'm a fan of...
You can certainly create GUI apps on Linux, but I've never found the need or desire as the terminal works so well. Even with a GUI designer, it adds a bunch of code you wouldn't likely need if you had a decent environment. Of course if your app is for non technical folks, I sympathize and understand.
In this particular case, it is very strange that they claim something which appears like it shouldn't be OS-dependent at all (Python is supposed to be portable, and there's no GUI stuff) would require a specific OS. A new Microsoft indeed, but unfortunately not one I'm a fan of...