Thunderbolt provides access to the PCIe bus.
For PC users, it's much less "pressing" because we have PCIe slots.
No current generation Mac has any other means to access the PCIe bus.
IMO, That was a bit short sighted on Apples part... along with no means to add internal drives.
Microsoft now offers full "PCIe via Thunderbolt" support for Win10.
You have to meet all the following conditions:
- Running one of the latest Z170, Z270, or X99 motherboards that provide Thunderbolt-3 via USB-C port
- Running an up-to-date install of Win10
- Need a USB-C to Thunderbolt adapter
- Your audio interface needs full "PCIe via Thunderbolt" driver
To my knowledge, only MOTU and UA currently have "PCIe via Thunderbolt" drivers available for Windows.
Microsoft chose to implement this support for Thunderbolt-3 (not Thunderbolt-2).
Microsoft claims support for Thunderbolt-3 should be backward compatible with Thunderbolt-2 peripherals... but they don't guarantee it.