Compile Java on Windows. Copy the class files to Unix. You can run it immediately without recompile. Of course, if you deployed platform is Unix, why do you want to develop on Unix?
It really has something to do with scalability. You wrote your Java server software, for example, a dynamic website. If the number of users is 100, you run it on Windows. If your business grows and the number of users is 1000, you run it on Unix. If the number of users is 10,000, you run it on IBM mainframe. All you need to do is to copy your class files to the server. Isn't that cool?