Assuming code base is equivalent, Windows 10/7/whatever has much more system overhead than Ubuntu. That alone will yield a performance increase because more system resources are available for Leela to use on Linux.
Not really an explanation for a significant difference when the programs we are dealing with are "crunches". The relative efficiencies of the operating systems should matter only when a significant percentage of the time is spent in them (system calls, other dynamic calls).
Maybe these programs need "tuning"? << example, a constantly used dynamic call converted to pseudo static >> This sort of thing used to be my line of country in my working days, finding unfortunate choices made by the programmers and replacing with something that might be an order of magnitude faster but still easy to maintain. << those were nice assignments when I got them because often got awarded a bonus of a percent or two of the saving in annual CPU charges >>
The relative efficiencies of the operating systems should matter only when a significant percentage of the time is spent in them (system calls, other dynamic calls).
He's testing the GPU acceleration, so that's exactly what happens. The CPU is forwarding the work to the GPU, through the OS, graphics drivers, OpenCL stack, etc.