The Python REPL works on Windows with GeanyPy, but something more general would be much more work. It's probably unlikely VTE would ever support Windows either since it doesn't have TTYs and is so fundamentally different.
If anyone feels like implementing it, the most likely routes would be either scraping a hidde/offscreen Win32 Command Prompt window/console or trying to adapt Mintty which emulates a real terminal on Windows (the one that comes with msys2 IIRC).
@Dragaan please try to combine messages into one, each single comment here emails around 70 people, and at least one mailing list.