Linux is quite nice actually, getting a broad overview of "what the system is doing" is as easy as opening a text file or running a command. If you have a single app misbehaving, you can often run it from a terminal to see extra debugging information. (This trick usually works on Mac OS as well)
Windows has no such equivalent; event viewer is incredibly clunky
Windows has a variety of tools that let you see debug message and trace events but they're not really useful for casual perusal. I don't know what the ecosystem looks like on Linux.
I suppose I'm not sure what I'm asking for. But in the aforementioned example (Window's post update/install OOBE with "We are just finishing some things for you") it would be nice to press something like Shift+F11 and open up a log viewer that knows you're interested in the main thing on screen to see what it's actually doing.