Not always. If the windows only software needs access to a hardware device (e.g. GPU) then there's still a significant barrier to setting that up. Hardware support is kind if there but some vendors dont allow it with consumer cards and you'll need two of them if you want both desktops at once. Along with that it's not uncommon for even new hardware to get details about doing this wrong. Currently amds threadripper and corresponding motherboards don't work with it due to a bug with power management.