You probably won't be using a Makefile and shell-scripts on windows for doing the building, but yes it works fine.
SBCL had scary "windows not supported" messages for a long time, but that was mainly because none of the core sbcl team had windows machines, so any bugs that didn't reproduce under wine weren't going to get support from them. LispWorks and Allegro both have had first-class support for windows for decades.
As far as UIOP: UIOP provides portability interfaces that make it less likely that something developed on linux will be DOA on windows, as well as smoothing out differences between implementations. If were developing on a single implementation for just windows nothing in UIOP is really necessary (but portability is always a "nice to have" feature that UIOP does provide).
SBCL had scary "windows not supported" messages for a long time, but that was mainly because none of the core sbcl team had windows machines, so any bugs that didn't reproduce under wine weren't going to get support from them. LispWorks and Allegro both have had first-class support for windows for decades.
As far as UIOP: UIOP provides portability interfaces that make it less likely that something developed on linux will be DOA on windows, as well as smoothing out differences between implementations. If were developing on a single implementation for just windows nothing in UIOP is really necessary (but portability is always a "nice to have" feature that UIOP does provide).