Your DB is supposed to guarantee consistency even in server crashes. (The Consistency, Durability part of ACID).
e.g. The database might append to write-ahead logs in a different order than the order in which the backup tool reads them.
The main difference is that Windows and MacOS have a mechanism that communicates with applications that a snapshot is about to be taken, allowing the applications (such as databases) to build a more "consistent" version of their files.
In theory, of course, database files should always be in a logically consistent state (what if power goes out?).
Well, supported by Windows and MacOS. Linux only if you happen to use zfs or btrfs, and also only if the backup tool you use happens to rely on those snapshots.