MySQL sql_mode for remote access
/etc/my.cnf is not the only place to get such things.  It sounds as if you have a .my.cnf / my.ini file in your 'home' directory on Windows.

Which version of 5.7 are you using?  (There were several changes to sql_mode.)

What client are you using?  Perhaps it is injecting changes to sql_mode to mess with your head.