Well, having just studied for and passed the CEH exam, I would agree with you but not as feverishly.
Granted, our systems in the classroom ran on Windows, but we also had VMware running a bootable Linux distro made specifically for EC-Council and CEH based on Knoppix. Also, included in the study material was a copy of Auditor, the predecessor to BackTrack.
Most of the material covered tools that run on and exploit Windows, but we also covered Linux. We looked at the basics of using Linux, tools for Linux and how to hack Linux. We even used tools that run only on Linux.
So surely, it was leaning towards Windows, but considering Windows has 90% share of the desktops and now over 50% of the servers, I thought Linux got more than its fair share of attention.
Plus, you use Windows, I use Windows, most of the world uses Windows. Most open source and retail products for hacking / security are also now ported to Windows. You're surprised at this?
So let's just say that if you want to get into this game using only Windows, it is possible. If you want to be more effective, get to know Linux. If you want to be part of the upper echelon, know every iteration of Windows, Linux and Unix including Mac OS X. While you're at it, throw in every programming language. Very few people have everything on that list.
For this reason, it is best to be part of or hire a red team. And trust me, every red team needs a *nix pro. So rest assured that your skills will always be in demand and far fewer people will be after it.
CISSP, MCSE, CSTA, Security+ SME