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My experience (currently running two 27" panels at 3840x2160 and one 27" panel at 2560x1440 in KDE for most stuff, Windows for gaming, and previously had one of the first edition retina MBPs with external non-retina displays):

OS X, years ago when the first retina MBP was released, did everything right. It was seamless from monitor to monitor, scaling done well.

Windows 10, now: OK, ish. Most applications scale badly with blurry text because it's just literally scaling the image afterwards. Newer applications are fine. The actual scaling isn't great - having a window half on one monitor and half on the other leads it to 'picking one' and looking weird on the other.

KDE, now: Pretty good. Correct scaling once you set it up. The autodetection can be dodgy, and the DPI scaling for text isn't linked to the rendering scaling for windows, for some reason. The GUI still only gives you a single scaling option for all monitors, but the autodetection can do different for each monitor, and environment variables can be set to solve it manually. The actual scaling is perfect for the vast majority of things. Things scale correctly and no blurriness. The only application that doesn't handle scaling is Unity3D, so everything is tiny (no fallback to raw image scaling).

In general, it's what you'd expect for interace stuff across the platforms - Linux does it right, but the interfaces around it are bad, Windows does it fine for new stuff, old stuff (which is most stuff) sucks, but the interfaces are OK for doing it, and OS X gets it all right.

Edit: Just to be clear, it's only the Unity3D editor that doesn't do scaling, the actual games work fine, as you'd expect they just get the full space and the game chooses how to render to it. To be fair to Unity about the editor, they support scaling on OS X, and the Linux build is still a beta. It is annoying though.

I use this on Windows 10: http://windows10_dpi_blurry_fix.xpexplorer.com/ and it works fine. If you have blurry text, disable DPI scaling in that app (right-click -> Properties -> Compatibility -> Disable DPI scaling) and this will take over and make it usable. There are a couple of applications that act wrong no matter what (Battle.net for example), but most of the time this fixes it well enough.

I only use Windows 10 for gaming, so fortunately I don't really need to worry. Useful for those who use Windows all the time, though.

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