Because Windows 98 always kept enough resources available to show you the c-a-d dialog. On Linux, however, there is no "the shell must remain interactive at all times" requirement, so a daemon that gobbles memory and your rescue shell have the exact same priority. Modern Windows even has a graphics card watchdog and if any application issues a command to the GPU that takes too long, it's suspended and the user is asked if it should be killed. Probably not what you want on an HPC that does deep learning, but exactly what you want on an interactive desktop.

I suppose it might be possible to whip something up with cgroups and policy that will keep the VT, bash, X and a few select programs always resident in memory and give them ultimate I/O priority, but I haven't tried.