Phoronix tested out the latest build of Windows 10 on one of those 64 core AMD processors with SMT ("Hyperthreading").
When you compared it to Linux with just 2 cores, no SMT, Windows was only 7% slower, but by the time you get past 32 cores, Windows falls apart, and by the time you're running 128 threads on the 64 cores + SMT, Windows 10 was 29% slower.
So, as things scale, Windows does worse and worse trying to manage things. 
I'm sure that getting to 32 threads without falling apart is a recent achievement for Microsoft. But Linux has handled big iron for quite some time now, and that's paying off on the desktop too.
Linux can manage at least 4 times as many threads, maybe even higher. That's just where that threadripper system maxed out in hardware.