v12.2. and before
The reason that CA only approved the use of the Streaming Platform and Rule Engine on Linux, is that there is a bug in Kafka on Windows.
The open source application Kafka that is at the core of the Stream Platform contains a bug that prevents the purge to take place.
Unfortunately, it is not in the hands of CA to get this fixed.
Since it is anyway a good idea to install the Analytics Datastore (Postgres DB), Analytics Backend, Flink, Kafka (+Zookeeper) on a separate server, CA recommends to use a Linux machine for installation.
On the other hand consider whether you need the Streaming Platform and Rule Engine. These two applications are only need if you want to use the Event Engine to launch AE jobs based on external events. If you use Analytics only for analysis and reporting of batches or for dashboards in AWI, you can install Analytics on Windows without Flink and Kafka.
Kafka version 0.10.2.2 that works with Automation Engine v12.3.x on Windows no longer has the issue.