I think it has more to do with Linux being easier to tweak, not some inherent performance difference. You can tweak the scheduler, page sizes, and all manner of other things to get a bit more performance if you know what your workload looks like. So it being open source and ubiquitous is a bigger contributor imo than anything inherent to the design of the kernel.
Regular users aren’t going to go through that level of tweaking, so the difference should be a lot smaller and will benefit more from general code-level optimizations than system tweaks. General purpose, high performance computing works just fine on Windows, it’s just easier to tweak Linux for production compute use cases.