Thank you all! I needed a few steps here that were mentioned on 
aka.ms/wsl2-install :

dism.exe /online /enable-feature 
/featurename:Microsoft-Windows-Subsystem-Linux /all /norestart
dism.exe /online /enable-feature /featurename:VirtualMachinePlatform /all 
/norestart

(restart)

wsl --set-default-version 2
wsl --set-version Ubuntu 2

(the last bit took a while to convert an existing install to WSL2)

It's now a lot more in line with the performance I'd expect:

sage: P2.<X,Y,Z>=ProjectiveSpace(QQ,2) 
sage: C=Curve(X^4+Y^4+Z^4) 
sage: S=C.riemann_surface() 
sage: %time S.riemann_matrix() 

On my linux laptop:

CPU times: user 532 ms, sys: 68.9 ms, total: 601 ms 
Wall time: 678 ms 

On the Surface:

CPU times: user 967 ms, sys: 0 ns, total: 967 ms 
Wall time: 1.18 s 

That performance is al least comparable, and could easily be because the 
CPU on the Surface is throttled or somehow a much less capable "core i5" 
than my laptop has (Intel really has made it impossible to tell from their 
serial numbers nowadays).

So with this in place, I'd say: running sage on WSL2 on Windows is quite a 
reasonable solution; WSL1 is not.

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