Is there any benefits with going Windows versus Linux?

It's quite the opposite actually. The overhead of the windows operating system is heavier than a linux system. BuildForge spawns multiple processes when executing jobs and windows process creation is rather heavyweight.

We've recently published 2 articles in the jazz.net library that you should read. One addresses deployment planning (including operating system choice) and one is about the performance testing we've done including scalability and performance of the product on the different supported operating systems.

I mentioned both articles in the linked thread below. I think you'd benefit from reading them over.
http://jazz.net/forums/viewtopic.php?t=14867