Sure, it was "plug and play", but like every printer, it took some work: you have to download and install a driver package and software suite, because this stuff isn't included in the Windows OS. This simply isn't the case in Linux: for many printers (particularly HPs), the drivers are already there.

Did you run Windows Update? Windows used to ship all drivers with the OS, but since 2018 they don't by default and instead match you in the cloud. You still might not have had to run the software suite; it might have been able to match and ship your drivers from the cloud.

I'm pretty sure that M$ has a bigger driver database than linux.