Executing strange binary files from untrusted sources could ruin your day on Mac and Linux as well. It is only less common because market share is so small compared to Windows, and as such these systems are less of a target.
I know what I do, I generally try to find user reviews, but someone had to install it first.
I personally just uninstall Malwarebytes and bitdefender after I clean up and make sure windows defenders up and running and I'm ready to download all kinds of shit off the internet again.
I think the best way to find niche software on windows is to search for open source alternatives.
Making a system restore point from time to time can help greatly too on windows! (make sure you change the setting so that it doesn't delete your old system restore points due to low disk space making the whole thing useless)
I would not assume that malware is actually purged, and unpacking backup archive and running script to reinstall software is not so troublesome (assuming that you have backups and script to automate installing your programs, but if you are on HN then you probably have it)
I wanted to download a program so that I could control my fans a bit better. Before I knew it, it took over my browser and would redirect me to other sites, couldn't remove the program either. Norton didn't do its job, and I didn't do mine because I probably unchecked one box too few during the installation process. The only way to fix this was to wipe the disk completely.
I've never had this experience on Mac or Linux.