You make a very valid argument, and I did fail to adequately address certain essential points. So to clarify a few things:

• By default, I say again, by default, the Red Hat installation is rather insecure. This is almost purely due to installing unnecessary software. This is obviously fairly easy to fix, but it not completely straightforward. Have a look at the Redhat security quickstart, and you should be able to easily secure your system to an acceptable level (definately far superior to windows anyways). I stand corrected, I should have mentioned this point.
• I recently was asked by three friends how to best get started with Perl. They were all running windows and had little experience with programming. I set them all up with activestate perl. One was happy with it, the other two said this sucked. They were obviously referring to more than just the actual executable, but the environment. I then helped them install Redhat (not like they needed much help) and they found it much more usable. Face it, the windows CLI sucks, try getting a really good editor (like kate) for windows, and ultimately the whole perl philosophy goes against windows like operating systems. It simply goes better with OSS.

As for ditching their systems with "lots of data", I did suggest alternatives.

if this system was directly facing the Internet, I would set up and run OpenBSD

I'd properly administer basically any of the open source *nix-like distributions, and probably end up with a better track record.