I guess the thing I was thinking of being cohesive were stuff like context menus, or integrating better with the window manager (or whatever it's called on Windows) than they do on Linux (since you had to integrate with the only existing one, not choose one). My earlier complaint about Krita/Inkscape is that most "labels" rendered in a colour and labels that was almost indistinguishable from the background, so I was largely working with shortcuts, or from memory and sometimes squinting to see what I'm clicking lol. It was an issue with all non-gnome apps, but I mostly used those two.
I quitr remember that on Mac it is barely better.
Now take some specialized areas such as DAW, video editing software and 3D editors and you can just throw that idea of cohesion out of the window regardless of the OS.
On Linux, if you used Gnome but ran a KDE app (or were on Gnome but ran a GTK app) you'd by default get something that looked horrendous broken visually but worked, and sometimes the visuals actually managed to break the app (ie thing being out of proportion, or invisible etc). It would look great and cohesive if you ran a GTK app on Gnome, or a KDE app on KDE, etc.
I think it's gotten much better at some point when these environments decided to support each others themes, though.
I wish they all sat down and came up with a unified theming framework for apps (maybe based on CSS, since they kinda use CSS flavours already), but have the rest be implementation details. Dunno how realistic that is, though.
Windows I think I missed the mark actually. A lot of people pointed out stuff I didn't think about or forgot about (every Office Suite release looked different, Java apps etc, branded stuff like Adobe or specialist software, etc).
I think it might be because I never really used those apps that my much, since Windows was basically only my gaming OS