At least by the time of the 386/486 era, I never noticed any difference. I did notice a big difference with BBSes that were multitasking dos apps using Windows 3.1. The multitasking on Windows was very jerky.

OS/2 had great multitasking, but I remember its driver support being limited for multiport serial boards. I had an Arnet Smartport 8 and couldn't move from DesqView to OS/2 because there was no support for it.