The difference is that the vast majority of third party app devs developing for macOS use Cocoa/AppKit, the system's native UI toolkit. Because of that, all Apple had to do is get HiDPI mode and a decent fallback (2x scaling) working in Cocoa and boom, 90%+ of all Mac apps, even those that stopped getting updates, have proper retina support. Devs didn't even need to recompile; at first it was an option in a property file in the app bundle (enabling users to "turn on" HiDPI support in older apps by editing the file), and later it was turned on for all apps.

Compare this to the situation on Windows where people using the native toolkit is a rarity, with tens or hundreds of different UI toolkits in use and even a bunch of totally custom UI, much of which assumes a 90 DPI desktop. There's really not much MS can do about that except make an educated guess about offending programs and try to force-scale them to 2x.

> Is there a difference between dpi support for third party apps versus Microsoft apps?

Yes, there is.

The only app that I am using that seems to be able to handle high DPI and DPI changes during runtime is Firefox. Most of the third-party apps that I used (not that many of them) either do not support high DPI at all (and are scaled by the OS), or fully support high DPI mode (with changing DPI during life of the app). So all of them work in more or less predictable manner.

The worst are non-modern applications by Microsoft. They behave randomly, sometimes only parts of application get scaled. The worst offender is MS Office, each app of the suite has it's own high DPI related quirks (Outlooks gets blury, PowerPoint's UI becomes huge).

Also the task bar icons do not expect DPI to be changed during their lifetime :/