Except when you have some specific dependencies/targets that make this difficult. I'm sure I'll get there eventually, but I chose .net for this thinking it would be dead simple, and yet here I am wading through documentation and stackoverflow posts to get to my self-contained single-file executable.
Most windows users have at least 4/5 versions of linux installed on their machine so it's a non issue. They have wsl, a base installed partition, vagrant, a VM and probably docker containers. so running one extra command to gen a windows package isn't a big deal.
Python has solutions like PyInstaller, but it's not built-in and requires building on the same system. In .NET, you can use the built-in tools to export binaries for Linux from Windows.