Yes, the Windows version of Vim is still vulnerable to CVE-2019-12735, so you should upgrade your Vim to version 8.1.1365 or later as soon as possible.
While most exploits are probably targeting Linux and Macs with shell commands such as
rm -rf etc., nothing prevents using a
cmd.exe or Powershell command there that would work on Windows.
Vim on Windows is definitely not as popular as on Linux and Mac (where it's always shipped by default), it is possible that exploits for Windows are not to be found in the wild as much or as often as those that target Linux or Mac... But as explained above, exploits are still possible and you should upgrade your Vim.
Version 8.1.1365 is the first one with the fix, use the
:version command to check the version you're running and make sure it's at least as high as that.