Not Python specific but languages that regularly interface with C code are often troublesome on Windows because the library writer assumes Posix functionality is available or the library depends on Unix libraries that are at best badly ported to Windows.

Haskell is one language where i encountered that too often, whereas Clojure's Windows support does not feel second rate. The portability of the JVM and Java's libraries combined with a joyful functional language like Clojure is very attractive.