Is there some reason Windows would have a problem?
On UNIX, the debug info is usually completely documented, and often standard (e.g. Linux uses DWARF).
On Windows, Microsoft compilers use .PDB (Program Database) files, which are completely undocumented and proprietary. GDB can't use them.
I don't know what debug info format Intel compiler generates, but chances are that format is only understood by idb
.
Effectively then, you can't mix and match GDB with any of the Microsoft or Intel compilers.