Easy, Windows already had dynamic loading on Windows 3.x, which was the same model used by OS/2, while UNIX was still trying to figure out how to implemente dynamic libraries.

The first versions of dynamic linking on UNIX basically required patching a.out files, before ELF was designed.

So of course the expressetion regarding compatibily issues with dynamic libraries came to be "DLL hell", there weren't .so to talk about.