How do you measure the performance and how much faster is Ubuntu for that use case vs Windows (10?)?

I haven't done any benchmark test or similar. I just use both systems and with Windows Server the user's response time is slower (because the Windows GUI, even if you configure it for best performance), LXDE (or XFCE) is a lightweight desktop that requires less RAM and CPU resources than Windows GUI.
And also Linux VPS is cheaper.

But that is a really subjective approach to compare performance between operating systems by how the UI response feels, isn't it? Wouldn't it be better to measure the average cpu usage over a certain time frame? Afterall, with trading automation we don't expect to click the UI all day and night.

I do not expect to give a measured and scientific test.
I just can afford a cheap VPS, so it comes with strong hardware limitations. So, under these limitations, between Windows and Linux I can work much better and much faster with Linux, with Windows I couldn't work because of its performance, this is just my personal user experience that I am trying to explain with technical reasons.
If you can pay a good VPS hardware with Windows go for it and forget this post

I am a fan of free stuff, so I think your post is very valuable.

@fran: if I install 2x MT4 on my Linux wine environment, create an account.csv with 2 separate MT4 brokers each using an individual copy of the ZorroMT4.dll inside the plugin directory (and an individual Assets.csv) and start 2 Zorro instances, one with account/broker A and one with account/broker B and let them trade they get mixed up completely. It seems they cannot distinguish between the individual DLLs for MT4. On Windows this setup works without problems so far. If you would like to try it out, I would be curious if this is the case with your system too.