After googling, I think the "Protocol not available" is a problem associated with the Windows WSL. I was hoping to "keep it simple" and have it run on WSL but that seems not to be the case. I'm guessing Arch linux under WSL may have the same issue but I'll try it another time.
Yeah, I would think it doesn't make a difference. What you'll get is a slightly different user space environment.
WSL is not VM that's fully virtualised and emulated. It's one step beyond the early days' OS/2 and POSIX subsystems but all run on top of Windows NT kernel.
For those interested, here is a good blog and an overview of WSL.