concluding what @rsx said - the main reasons for not supporting Windows as monitoring server is knowledge on performance tuning, troubleshooting, and of course - providing UIs natively for everything. Even if you may run the PHP application from Icinga Web 2, it still requires more time to figure out when something goes wrong.
There’s also no plans to make the core write to MSSQL or any other RDBMS than the current ones. When you see some references to MSSQL in the Icinga Web 2 resource configuration, keep in mind that these can only be used by modules, e.g. for the Icinga Director as import source to create hosts objects automatically.
Further, Windows requires more love in terms of check plugins. While we have the monitoring-plugins package on Linux/Unix, you’ll need other/extra scripts on Windows. Some of them have been implemented in a common effort (actually a trainee project turning in good production) provided with the Icinga installer, others are missing and require additional Powershell scripts, or the use of addons such as NSClient++,
That being said, I highly recommend to choose your favourite distribution, best some LTS with Ubuntu 18.04 or CentOS/RHEL 7 and follow the setup instructions from the docs. Installation is a breeze, and when it comes to distributed monitoring and agents, follow up with questions here