Here’s an example: if I build a Python app with PyInsyaller (which can’t cross-compile), and if I want a Windows executable, I have to build on Windows, not WSL, which defeats the whole purpose of “bash on Windows” because now at best I have to use Cygwin or Powershell or something and deal with a completely different environment.
You can run windows programs from whatever Linux shell (in WSL) you want, because the Windows filesystem is mounted and Windows executables run in the Windows environment.
OTOH, if you are doing anything complicated, it gets weird because (e.g.) file paths have to be passed as windows paths to windows programs, not using the linux mount path that you would access the path from in linux. But, you can, in principle, use a Linux shell in WSL to run Windows PyInstaller to build for Windows.