[okanat]

If your $DISPLAY managed by Xorg server goes away your X apps will also crash. Wayland combines the server with the parts that draw your window decoration into the same process.

Under Windows everything including the GPU driver can crash. As long as it didn't take the kernel with it, causing a BSOD. Your applications can keep running.

[uecker]

I can restart window manager and compositor just fine in X. Also it is not generally true that X apps crash when the server goes away. This is a limitation of some client libraries, but I wrote X apps myself that could survive this (or even move their display to a new server). It is of course sad that popular client libraries never got this functionality under Linux, but this is a problem of having wrong development priorities.