I keep my code portable to Windows soley for the purpose of getting to use the Visual Studio debugger. Likewise, Windows developers should write portable code so they can use valgrind.
"Often time when using high level algebraic languages we have a tendency to do things in a way that looks the best, or in the shortest number of statements. Often completely ignoring what will execute fastest." - Donald Knuth The Art Of Programming Volume 1 Second Edition Preface X.
It has a steep learning curve, but the package Microsoft calls "debugging tools for windows" (windbg, cdb, kd) really puts the VS debugger to shame, to the point where I am frustrated when I try to use it. If you want to point and click your way through variables I guess VS is OK, but if you want everything you might ever want to know about a process it is frustrating.
You can use the WinDbg debugging engine as your debugging engine in Visual Studio, which allows you to combine the benefits of the IDE with the power of WinDbg virtually seamlessly.
Because writing good debuggers is unglamorous hard work.
Actually, I think the VS C++ debugger is only decent - not great, just decent. I prefer the Borland debugger kernel, seen these days in Embarcadero Delphi and C++ Builder, the CPU view in particular. Although if you're working with mixed native and .NET code, it's quite good.
VS's ability to comprehend C++ code and provide meaningful code completion, follow symbol references, etc. even when it isn't able to compile the C++ is excellent, however.