Or acts as a proxy allowing people to route all kinda of shit through (or into) your network...
A lot of those "residential proxy services" work by routing traffic through infected devices. The operators of them just buy "installs" (dirt cheap) from botnet operators, etc.
An infected device on the home network can also be staging for (automated) attacks against other shit on your network. Fun times.
Your windows machine likely have more lax permissions for the internal LAN. It's easier to try and install a keylogger, and steal your passwords on various sites, card numbers, etc.
This all gets bought and sold on black markets, and gets used weeks and months after being stolen. Spam sent covertly from your mail account, mystery charges on your CC, etc. Not pleasant. At the worst case, a full identity theft, then behold a $30k loan taken in your name, for you to repay with interest.
Harboring such a pest, typically used in extortion, is just not nice, even if you personally do not directly feel any ill effects.