Terminal.app is much, much better than conhost, even after the Windows 10 update. It's fast, supports a ton of thoughtful features (such as customizable title bars via extended ANSI codes, real line wrapping during resize, good Unicode support from the very beginning, etc.). With Terminal.app I can be quite happy and productive even with someone else's Mac or with the default settings. I've used iTerm2 but their features weren't compelling enough for me, and the iTerm font rendering is noticeably worse in many ways. Apple has also been very good about giving Terminal.app continuous updates.

On Windows though I have almost always had to install MinTTY or something just to get a halfway usable terminal emulator. The default emulator is just so limited - Unicode support is very plug and pray, the title bar is totally locked, and having to use Windows APIs to change text formatting is a pain. Conhost is also amazingly slow when it comes to large amounts of text, so much so that printf can be extremely detrimental to program performance just because it has to wait for the terminal window to catch up.

PowerShell's terminal experience is better but not quite there. And, PS suffers from extremely long load times - I've seen it take upwards of 10 seconds to start without any extensions. That means that in practice I often pop open cmd.exe even if PS is a better choice, just because I don't want to sit through a long load time.

Microsoft really should get their Terminal story in order. I'll definitely try out ConEmu the next time I sit in front of a Windows box, but like you I wish MS would improve their own apps!