It's more or less because Apple was the only one who actually cared about making Thunderbolt work.
Point & Case: I owned an AMD eGPU from Sonnet when I was still using a 2017 MacBook Pro. Plug it in to macOS, it works. Software support varied, but that's a different issue.
I dual boot the machine with Windows, because I want to play PC games.
It doesn't work. Not enough memory it says, which is absurd because this machine has 16GB and barely any of it is being touched.
Specifically, Intel, in their infinite wisdom, decided that Thunderbolt devices in their chipset driver were mapped in 32-bit address space for the particular chipset this Mac used.
Now, anything POSIX, from Linux to Mac, don't care what address space Intel says to use; they will map drivers accordingly based on the RAM available. So if you're trying to run a GPU over it, they won't care if the first 4GB is full as long as you got enough RAM elsewhere.
Windows doesn't. It trusts the hardware when it says "I can only be mapped to the first 4GB and drivers are limited to [X]GB!" like the fool it is. I had to add an EFI pre-loader to my system partition to patch the chipset to allow use of the full 16GB of RAM with external Thunderbolt devices, then hand off to the Windows bootloader.
And there's more issues like that too. Not to mention that, at least once upon a time, You couldn't add Thunderbolt to AMD & older Intel systems. Intel refused to allow the TB3 controllers to be put onto a PCIe card — Motherboard only, modern Intel chipset only. — TB3 PCIe cards were just a glorified port, and you had to hook a little extra cable up to a special port on the motherboard that connected it to its controller.
Icing on the cake is, unlike TB 1 & 2, Intel was hella stingy with the licensing with v3. On their website, they once listed how they would provide access to the specifications, materials, and purchase information for Thunderbolt & its controllers to hobbyists and educational institutions for non-commercial purposes. Im thinking "Thunderbolt enclosures are expensive; surely making my own would be cheaper, right?" So, I contact them, and things start off well, but the minute I mention I'm looking at Thunderbolt 3? "Sorry, we do not provide access to materials, documentation, or other information regarding Thunderbolt 3 at this time for the educational and hobbyists markets. Ciao!"
It's probably why TB3+ shit is so fucking expensive.