Mercurial on windows was "download tortoisehg, use it", whereas git didn't have a good GUI and was full of footguns about line endings and case-insensitivity of branch names and the like.
Nowadays I use sublime merge on Windows and Linux alike and it's fine. Which solves the GUI issue, though the line ending issue is the same as it's always been (it's fine if you remember to just set it to "don't change line endings" globally but you have to remember to do that), and I'm not sure about case insensitivity of branch names.
Pretty sure Mercurial handles arbitrary filenames as UTF-8 encoded bytestrings, whether there was a problem with this in the past I can't recall, but would be very surprised if there was now.
Edit: does seem there at least used to be issues around this:
https://stackoverflow.com/questions/7256708/mercurial-proble...
though google does show at least some results for similar issues with git