Might depend of compiler.
Using gcc 9 instead of gcc 8 under linux improve performance from 30%
Just by using another compiler
So can’t really tell if Krita is faster on linux than on windows, but:
- OS (windows, linux) can have an impact
- version of OS can have an impact
- version of tools used to compile can have an impact
Krita is always built from source.
I think your question is more related to a comment that someone wrote that if you build krita by yourself it will be faster than if you use official binaries.
I have no idea from where this information comes from, and I’m too lazy and not enough interested by subjecf to search in forum who wrote that to ask why he/she wrote that 
But maybe this person is the person to ask for more information about this information
Grum999