MySQL server feature gap on Windows and Linux
No, in terms of features there is no difference between Windows and Linux versions of mysql. There are certain configuration options that may make sense on one of them only, for example see identifier case sensitivity, that you have to consider when migrating databases between the 2 platforms. Mysql documentation has a section on limits on Windows platform that lists those differences that may cause real headaches.

Obviously, there may be performance differences and tuning differences, but those have nothing to do with features.