No, that’s not true. Both versions have the same features.
Granted, some mods might only compile on one or the other, but usually that’s a matter of not having provided the relevant build files, which is easily fixed.
Also, there are much better terminal emulators for linux, which matters a lot if you’re playing the curses version.
Lastly, the linux kernel has grown to be inherently better than that of windows, which in my experience means you will get more out of your hardware with a customized linux distro instead of, say, windows 7. But that’s just begging to start a flamewar, so do take it as my humble opinion.