I don't see a reason to build a Windows-only game. That's why I don't. =) I have an OpenGL/OpenGL ES stack that deploys comfortably to Windows, OS X; eventually I'll expand it to iOS (easy), Android (somewhat tricky), and probably Linux (easy).
I said the exact same thing as you are before getting back into native development. "Why should I manage memory myself? Ew!" It was one of the biggest reasons I avoided C++, and I say that knowing C (albeit having left it unused for about six or seven years). Eventually I bit the bullet and jumped back in, and to my utter surprise found it completely easy. C++ is boilerplatey on its best day, but most of the hard problems are solved problems. Like, if you want to treat it like Java or C# (which I've spent much, much more time with), fling boost::shared_ptrs around. If you don't, spend a couple seconds thinking about what you're doing. It really is a non-factor once you get into the swing of things, and while I'm a pretty competent programmer I only started writing real C++ about three months ago and I no longer spend any significant time thinking about it.
C++ gives you sufficient advantages in terms of portability and performance that, if you're writing a game from scratch, you probably want to be using it. If you don't want to be writing C++, you probably want to be using Unity or another engine that bakes in the hard parts (with a corresponding loss of flexibility).