So basically the article is saying Windows protects the keys much better than linux, where the key sits unencrypted in ~/.ssh folder?
1. You can choose to have the keys encrypted with a password (same for Windows as for Linux)
2. The key, whether encrypted or unencrypted, are for both platforms stored on disk in the user profile (see first screenshot)
3. This talks about ssh-agent, which you can use to cache the the unencrypted key so that you don't have to type the encryption password every time you want to use the key. On Linux, this is just stored in memory, whereas in Windows, it's stored (encrypted) in the registry as well.