Depends on your perspective if you look at it from the perspective enterprise where Microsoft makes a lot of its money its a different story. The enterprise's IT department (which is probably already running Windows with Exchange, Office and the rest of MS stuff) faces the following issue: Developers want Linux tools, but to IT, it makes sense to keep all employees on Windows rather than give developers the option of Linux in order to make their management easier. With WSL the problem is solved, everyone is on Windows and developers get the tools they need.

Linux is definitely better at privacy by leaps and bounds. But! Performance, no, there are use cases where windows outperforms, and others where Linux does. Security they're almost equal with Linux with a slight advantage if you keep your OS up to date and fire walled.