From a Linux Desktop, you can browse multiple protocols without additional applications. I personally use FileZilla Client but I've also use WinSCP too.
From a Nautilus File Manager:
I don't consider this quite a fair comparison. Linux distros are mostly made by and for techies. There need/desire for these tools to be included seems obvious. Windows on the other hand is meant for the masses, and those tools would be unused by 95% or more.
So sure - it's cool they are there, but that's about all.
I'd argue it's mostly because windows doesn't natively support other protocols. You can browse SMB shares from explorer because it's natively supported. I'd be willing to bet if windows supported NFS or SSHFS or SFTP or any other protocols you would be able to do it in explorer.
Windows server supports NFS shares... I honestly haven't looked into using explorer to browse NFS but this is adding some weak-sauce to the argument.... This post stopped being constructive a while back so I don't feel too bad for adding fuel to the fire.
I'll hitch my wagon to the "Linux is better" camp because the only time that I've seen any advantage to windows is if you've got to administer an MS environment (much of my day job), have to use windows only software (such as our ERP's client software), or are otherwise stuck in a MS ecosystem (users / processes heavily entrenched in the world of windows-only software and systems).