For me, Windows (7, 64 bit) behaves exactly as you report for Linux. I would love to be able to get Windows to behave like it does for you. What version were you using? Did you tweak any settings?
I haven't been running windows for a year or two now, so this was a while back, but I think I was on Windows 10, possibly it was 8 back then, no tweaks. But I was quite successful at this in Matlab specifically. If you overload memory across many processes perhaps you can get into a bad place, but when it was just one process that was abusing swap, Windows is quite good about making sure other processes aren't dramatically affected in my experience (there was some lag, but it was usable).