It's not that crazy a statement if you have a virtual disk. Linux would cache that disk image and thus file system operations in Windows (which are known to be slower than in Linux) runs much faster because they're not getting stalled by slower hardware operations. It's worth remembering just how slow the old mechanical drives were -- the difference might not be as distinct (nor even exist at all) between virtualised and bare metal now that SSDs are the norm.
As for why file system operations are slower in Windows than on Linux, there's quite a lot of discussion around that from WSL. I don't really recall the internals of Windows fs operations but there is something about those syscalls generating events that trigger other processes (eg so you can attach a virus scanner) vs Linux's approach of optimising the syscall for performance. The Linux approach does have it's disadvantages in that often you'd want to write software that is triggered upon a file system event and there's no way to watch a nested directory. But overall I'd take the win with fast reads and writes.
Any sources for this? I don't think it's true.