Well, perfview, for one. I have to keep a Windows VM nearby just for that thing. It doesn't come in handy every day, but is absolutely indispensable when it does. They have a shitty Linux port which basically doesn't work and receives almost no development.

I should also add that you /can/ dump a dotnet application running under Linux. It's just you can't do anything really useful with it, the best tooling is Windows-only. Clearly shows you their priorities.