It should work on windows as well, the call is made through the pyton script.
One thing you need to check is if there is a proxy setting on your infrastructure. In our case we needed to change the python script for that purpose:
conn = httplib.HTTPSConnection("myproxyservername",8080,timeout=3600)
conn.set_tunnel(restUri,443)
params = urllib.urlencode({"startDate": lastTime['splunk'],"limit":settings['limit']})
conn.request("GET",settings['endpoint'] + '?' + params,"",headers)
response = conn.getresponse()
We are running our Splunk App for Okta on Windows 2008 R2 using Splunk 6.1 right now.
thanks for the responses very helpful.