Update why windows tests skipped

[arogl]

Clarify why tests on Windows are skipped.

Replaces #5812

Some tests pass in CI, but fail locally.

To Do

Not all skips looked at as yet.

• [ ] Documentation. (If you've added a new command-line flag, for example, find the appropriate page under docs/ to describe it.)
• [ ] Changelog. (Add an entry to docs/changelog.rst to the bottom of one of the lists near the top of the document.)
• [ ] Tests. (Very much encouraged but not strictly required.)

[github-actions[bot]]

Thank you for the PR! The changelog has not been updated, so here is a friendly reminder to check if you need to add an entry.

[snejus]

All of the related work has now been merged to master, so you can now rebase your commits on master, apologies for the back and forth!