Unfortunately Microsoft Windows doesn't have that good color management
Windows provides a fairly rich set of colour management capabilities (Windows Color System - WCS), but it's the application (not the operating system) that does the colour management, using the WCS capabilities.
As D Fosse says, that's nearly always a good thing. Generally it's the application - not Windows itself - that knows what colour management is needed. Often Windows doesn't know the colour space of the image data, and won't know what rendering intent is appropriate.
Back to the OP's issue:
Most software and most devices (monitors, printers) sort of default to roughly sRGB. That means that a normal gamut monitor (which will approximate very roughly to sRGB colour space) will look OK even without colour management.
But the moment ANYTHING in the system is not sRGB (wide-gamut monitor, images in Adobe RGB etc), then you must use colour management or colours will almost certainly be wrong. That means colour managed software (most photo software is), a calibrated and profiled monitor (using a hardware tool - i1, Spyder, ColorMunki...) and all images must have embedded profiles.
With a wide-gamut monitor, even if it's calibrated and profiled, remember that most non-photo software is not colour managed, and will result in over-saturated colour. The only browser that is fully colour managed for all images and all graphic data is Firefox (and then only if you set option gfx.color_management.mode to 1 - Google for how to do it). Safari is colour managed for images that contain embedded profiles but not other graphic elements, Chrome was similar to Safari, but last time I looked earlier this year they'd broken it again, and both IE and Edge are a total waste of space and useless on wide-gamut monitors.
As Czornyj says, soon there will be many more wide-gamut consumer devices, and both MS and Apple will have to make colour management much more seemless and automatic, but at present, the moment you stray from sRGB you need to know something about colour management.
If you don't want to get into colour management, put that wide-gamut monitor down and walk away!