Historically, in Windows, when you had to manage multiple “windows” at once, you used child windows (called MDI, thanks to Christophe for reminding me the technical term). The technique was still used in, for instance, Photoshop 7 (search in Google for the screenshots). Lots of applications used this technique in the past (including, I believe, what became later Microsoft Office), but most abandoned it.
The benefit of the approach where a master window contains children windows is that the minimizing and moving is handled automatically for you by the OS. The drawback is that you can't position your children windows whenever you like, which is also limiting in dual-monitors configuration. The limitation was, for instance, taken in consideration in Visual Studio: newer versions make it possible to create an infinite combinations of windows which are indépendant from each other.
Adobe Photoshop uses the same technique too. Although by default, palettes are displayed within the main window, you can detach them and move them to another monitor.
Adobe Lightroom, on the other hand, uses a different approach. You can use up to two monitors, one containing the primary window and the interface, and the second one containing the full-screen photo. The lack of flexibility (i.e. being able to move everything all around) also means less complexity for the users. There is no much need to detach the panels, except the scenario where you indeed want to display the full-screen view.
So, the benefits of multiple windows are:
- Absolute flexibility to the user, especially when using multiple monitors.
The drawbacks of multiple windows are:
Handling of windows is done by the application. For instance, what happens when you minimize the main window? Should the other windows be minimized? Remained intact? Or maybe it depends on the windows (for instance minimize the palettes, but keep everything else)?
Managing windows is not an easy task for the users. They can easily be lost. It shouldn't be unusual to receive a call from a customer, telling that the palette disappeared and there is no way to display it any longer—after inspection, it appears that the palette was on a second monitor which was simply turned off. As an illustration, my wife was lost on multiple occasions where using Gimp's windows which were moved or hidden.
As you may notice, this has nothing to do with operating systems. Visual Studio is hardly inspired by Linux, and so does Photoshop which should mostly be inspired by OS X. Your example of Windows Paint is flawed for two reasons: (1) it's an elementary application which could hardly be compared to applications such as Gimp; (2) new versions such as WordPad and Paint are inspired by Office Ribbon design, which means that the palette sticks to the top of the window, rather than being on the side, or having a flexible position or being a separate window.
It's all about user experience. An interaction designer should study how the application is used and identify the possible workflows when the user would benefit from two or more separate windows. The presence of a dual monitor among the users is a major factor (thus IDEs and graphical editors are more inclined to use multiple windows, since they are often used by persons who can afford two or three monitors), but even one monitor can benefit from that in terms of arranging the workspace.