I think it's one of those things that are hard to get exactly right.
First of all, most users won't have a need for it at all, so they'll just never use it. This is probably the main reason why MS never made an effort here.
For the remaining users, you need to be very careful in order to make them really trust the mechanism. All virtual desktop tools I have used on windows have some issue that breaks the trust. Windows suddenly moving to other desktops or just disappearing, notifications not appearing, delays in drawing the taskbar, etc.
On the mac there is a sliding animation when you move between desktops so that you have a feeling of moving in physical space. This is not just a visual effect, it speaks to the brain in a fundamental way that makes it easier to remember (more like "feel") where you and your different windows are.
You also have an easy way to see all desktops and move windows between them, and there are just no unexpected strange issues with the whole thing. No strange pauses, no weird re-draws of windows, no stutters or stops. It doesn't feel like a "hack", and I think this is essential in order to make people use it.