Currently ColumnStore does not work on the GA version of WLS / Bash for Windows. Some fixes have been made that improve things a little in the insider program version (including ubuntu 16 base) so it will likely work eventually maybe even at the next major anniversary version.
Our recommendation for now is to use docker or vagrant on Windows (or Mac) to run ColumnStore: https://mariadb.com/kb/en/mariadb/columnstore-getting-started-mariadb-columnstore-docker-and-vagrant-setup-al/. There is some support for windows in the code base but it will take some work to fully make a native build.
ColumnStore 1.0.5 now works on Bash for Windows using the Windows Insider Slow ring build 14965 and ensuring you re-install bash if upgrading so you get Ubuntu16. This is obviously not a stable platform being an early release but hopefully this will get released into the mainline windows distro soon.
Thank you.
Great news for the Long Term.
Greetings,
Juan
The Windows 10 Creators Update is probably expected Spring-Summer 2017:
Some documentation could be included in the MariaDB Knowledge Base for that date on how to enable Bash for Windows and install & configure MariaDB Columnstore:
Once it's available in a GA release we can do this. I just ran a test on build 15042 in a vm and it still works well enough but is still slower on anything I/O bound than using a native ubuntu 16 vm running in hyper-v or with docker which is sort of the same.
I upgraded to windows 10 creator and the ubuntu install works great with bash for windows. With a quick test i saw similar performance to linux running in a hyper-v vm on the same box. You still have the issue that the lifecycle of linux processes is dictated by the bash shell being open but it's a good option for someone wanting to try without the additional steps of hyper-v / vbox and docker.
Good to hear 
Although my home PC is not very powerful, I will try Columnstore via Windows Bash in it as soon as I have little time, and update "Knowledge Base Documentation" if I see any interesting contributions can be done about this topic.
Thank you,
Juan