They don't build on Windows at all, as well.
We release Windows CPU wheels (https://pypi.org/project/jaxlib/#files). So JAX on CPU works great on Windows.
We don't release Windows GPU wheels at the moment, but that's because we're a small team and none of us use Windows personally. We welcome contributions!
(I verified that the Windows CUDA GPU support built as recently as two weeks ago, but I don't have the ability to test that it works.)
We recommend WSL2 because that's just using our existing Linux CUDA release.
We felt that Windows CPU support was important so everyone can run JAX, even if it's not always the most-accelerated version of JAX. And we got some great PRs from the community that helped fix a few open issues.