I have to make a small apology here. Only cygwin is supported on Windows and there was once a useful error message but it died during recent development. This week I've been working on Windows console app support (think: cmd.exe, powershell) and WSL support. Then at the very least you would get a cmd.exe session by default.
For Windows users though, the shell integration stuff is only going to work with WSL and cygwin because anything Windows console based doesn't use or pass VT style escape codes, thus I can't extend the protocol there. This may change in the future as the MS console team is working to add more support for VT and unix style terminals. Making Extraterm into an SSH client itself is also an option for Windows but I've having trouble gauging how important a feature that is and whether it should get some prio.
The thing is that on Windows it isn't really possible to make a terminal/console app which talks directly to the shell (cmd.exe etc) running in it. What everyone is doing is opening a hidden 'console' component which runs cmd.exe/powershell.exe and then screen-scraping the contents out of it and rendering it elsewhere. Most emulators on Windows which support cmd.exe and friends are using a little bit of software which handles the hidden console, monitors its contents and then outputs a VT style stream of the updates. It is not pretty. MS have been working to improve the situation though: https://github.com/Microsoft/console/issues/57
The bizarre twist to this story is that it is going to be easier to add shell integration features to PowerShell Core running on every platform which ISN'T Windows.
What you're describing is necessary when going the opposite direction and trying to translate windows console buffers into VT data streams, but that's not really necessary for something like this since the native console interaction isn't used. Just grab plink's stdin and stdout and you'll get precisely what comes through SSH, escape codes and all. Well, almost, I think plink does some EoL conversion.
For Windows users though, the shell integration stuff is only going to work with WSL and cygwin because anything Windows console based doesn't use or pass VT style escape codes, thus I can't extend the protocol there. This may change in the future as the MS console team is working to add more support for VT and unix style terminals. Making Extraterm into an SSH client itself is also an option for Windows but I've having trouble gauging how important a feature that is and whether it should get some prio.