Even on Windows it just takes a few hours of setting up a build VM machine from scratch, installing a few tools, to first full build. It is more inconvenient than Linux (as is all Windows building, indeed) but far from being hard to do.

I did that regularly some years ago for the company I work for, because we needed OpenJDK Windows binaries, and there wasn't such a convenient thing as AdoptOpenJDK. So in order to not get caught in stupid licensing debacles with Oracle it came down to just compile the Windows binaries by yourself.