Under linux you run out of system Entropy when trying to generate GPG keys unless you use /dev/urandom. Under windows, you get the speed of /dev/urandom without any tweaks. Does windows have that much extra entropy, or are the keys just less secure?
This is a link that discusses /dev/urandom generating less secure keys for those that aren't familiar with why this might be a problem. https://bugs.launchpad.net/ubuntu/+source/gnupg/+bug/706011