Let me second that and add a tiny bit more.
Supported is supported, so pick one that's supported and you'll be fine.
IMO, pick what you are most comfortable with. I've run Windows and *nix and honestly they're very nearly the same when it comes to Splunk. If you are equally comfortable in both, and if both platforms will fit into your enviroment well, then I'd give a slight edge to *nix if only because it seems it's slightly more popular and thus it's just a tiny bit easier to get community support. But they both will work fine.