I kind of disagree that it is done easily in Windows, network drives are pretty cursed everywhere in my experience.
But yeah, I'm a professional who lives in multiplexed terminals and none of the people who I've helped migrate to Linux were keen on NFS, CIFS, SMB and so on, so it's not like I have a solid grasp on the graphical tooling available for such things.
It has been much rarer for people to come back to me with problems after I've helped them move to Linux compared to the Windows users, though.
Dolphin can mount network drives just fine?
Yes, but I don't believe it can do so permanently. And by that I mean, solely through the UI, connect to a network drive and have it persist across reboots. You can do that in the Windows or Mac file explorers.
My initial comment muddied that complaint. You can do it transiently in the UI in Dophin.
But I was curious and looked up the process; it seems that Thunar can only temporarily mount a network drive. So it remains a good example of the kinds of things you can easily do in the UI in Windows or macOS and thus feel weirdly lacking in Linux.