As far as I know, Windows just grinds to a halt entirely, system processes start crashing, or you get a BSOD, and mobile OSes kill the app without any trace. I never had an OOM situation on Macs so I don't know about macOS.

Windows is unstable even if you have more than enough memory but your swap is disabled, due to how its virtual memory works. It generally behaves much worse than others under heavy load and when various system resources are nearly exhausted.

There are several advanced and very flexible OOM killers available for Linux, you can use them if it really bothers you (honestly you're the first I've seen complaining about it). Some gaming/realtime distros are using them by default.