We support all these systems to give you a choice. It does not matter much what you chose, because when you work with the emulated Alpha, it hardly makes a difference what OS is hosting the emulator. We advise to chose the OS you have more confidence with.
There is one difference to consider. The Windows version currently has a graphic user interface, whereas Linux and FreeBSD versions do not have it. On Linux and FreeBSD the AlphaVM can be launched only from the command line. On Windows the Launcher GUI manages the configuration and the startup of the emulator in a convenient way.