On OS X and Windows, PixInsight selects the current system monitor profile automatically. On Windows, the operating system normally assigns a sRGB profile by default. On OS X, the system assigns a default "Display" profile (which typically represents the sRGB color space, in fact). On X11 (FreeBSD and Linux), PixInsight selects a default sRGB profile included in the PixInsight distribution. So what you see is just the default behavior on each platform.
Since version 1.8.4 of PixInsight you can change the monitor profile on all platforms (previously on X11 only). You can define a new monitor profile in the System Settings section of the ColorManagementSetup tool.
I'm curious as to how important this setting is on OS X verses Windows
Color management settings are *extremely* important on all platforms. As noted above, PixInsight selects the current system profiles on both OS X and Windows.
I been using a Windows machine for pre-processing using another tool
That's a pity. You can perform the entire pre- and post-processing tasks on both your Windows and/or OS X machines with the same advanced image processing platform.