As a data point, at LexiFi we develop in and deploy our applications on Windows (using the MSVC compiler), and in our experience OCaml itself, as well as Dune, have excellent Windows support.
What doesn’t work as well is anything that has to do with OPAM, but we don’t care much for it: we develop in a monorepo and if we need a third-party library (in general we try to keep our dependencies pretty minimalistic), we simply vendor it in our tree.
As development environment we use Cygwin when we target Windows (Cygwin is also needed to compile OCaml itself on Windows), and WSL when we target Linux. We have been using this setup for years and it is pretty robust. As far as tooling is concerned, some of my colleagues use Merlin and OCaml-LSP for developing and these also work fine on Windows.
Cheers,
Nicolas