Quick answer: use what you're the most comfortable with. Learning an OS at the same time as learning a programming language doesn't seem conducive to effectively learning either.

If you are equally comfortable, I think you would be marginally better off on a Unix-like platform, and probably marginally better off on Linux (the margin of a margin is a very small, err, margin). This is becoming less and less true, but Perl was born and raised on Unix. Perl is sometimes thought of as a distillation of Unix philosophy into a programming language. That said, the amount of Windows Perl users is large and (seemingly) growing fast, so I don't think you'd have any major problems there either.