With the new Linux Subsystem for Windows in newer versions of Windows 10, there isn’t nearly as much of an issue anymore since everything can be set up in a “native” Linux environment (meaning you don’t have to futz with VMs/emulators, etc.)
Really then, the choice comes down to preference. If you’re hosting on GitHub pages, Jekyll makes this much easier by saving you a step; your workflow becomes develop > push to live, rather than develop > build locally > push.
If you’re hosting somewhere else, use whatever generator or templating language you’re most comfortable with.
(P.S. - I’ve written a guide for setting up the Jekyll development environment locally on Windows here: https://jreel.github.io/installing-jekyll-on-windows/ )