You can also hit the space key after those characters (or other modifiers like " or ~) to get just the character and without a space after. I find it a lot easier than the Mac-approach, but YMMV.
There's also the fact that I have to type those characters in places where I don't have fancy entry systems (drive unlock passwords, rescue environments), while I don't type French in those places, so it also makes more sense for muscle memory.
Windows doesn't natively support the Mac behavior. I had to find some layout that almost does it, with the caveat that it uses alt-gr instead of mac's alt, which isn't exactly the same nor in the same spot. So I had to pile another utility on top that modifies the WIN/Menu keys to send alt-gr. Luckily, it was also able to move win to caps. So now, aside from the "weird" altgr, I'm happy enough with my keyboard under windows.
As others have said, I'm not a professional typist having to follow along in a court of law or whatever. I don't remember ever being limited in my work by my typing speed. So not having to learn weird layouts and adapt when I change computers or in non-ideal situations (think BIOS passwords and the like), deal with weird shortcut placements, etc is much more of a win than pumping out more words per minute.