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The version installed by the Windows binary installer runs on top of Cygwin, which is a library providing Unix-like routines and (pseudo-)system calls to binaries resulting from compiling (possibly adapted) Unix sources against it.

This approach is quite different from WSL use, since it attempts to use the Windows kernel (and some Windows libraries). It has for a long time been the only alternative to the installation of a virtual machine and a Linux distribution in it in order to install and run Sagemath.

In this setup, adding optional packages is not absolutely obvious. As far as I know, this is not (yet) fully supported, notwithstanding the main developer's (Eric Madison Bray) gigantic efforts in that direction.

WSL installation, as described by sandy_scott, amounts to a kind of virtual machine installation, but in an environment where the Linux kernel can "talk" directly to the Windows kernel, possibly streamlining the process.

Would you mind reviewing the issues filed at the binary installer Github page (and possibly open a new one if necessary) ?