I believe Photos does half the color management job, but doesn't correctly utilize the monitor profile.
I have a Windows 10 system with a wide gamut monitor, a BenQ SW2700PT, with a custom profile generated using an XRite Display 1 Pro and the BenQ software. The profile resides in Win10 as the default user and system monitor profile.
I used the PDI printer test image, previously converted into the ProPhoto colorspace. First I brought it into Photos, did a Windows 10 screen print, and pasted the clipboard into a New untagged document in Photoshop CC. I assigned the monitor profile to the PS document, and next converted it to sRGB and saved it out as a jpg. The image is the first attachment.
Secondly, I opened the same PDI printer test image into Photoshop, and went thru the same screen print, etc. process, and saved it out as a jpg, second attachment.
I believe Photos properly converted the ProPhoto image into sRGB, but the displayed version is way too saturated, exactly as though Photos drove the monitor directly with the sRGB values, without first converting it using the system monitor profile.
Added by edit - Please note the Photoshop version shows ProPhoto as the embedded profile, but this is the original image, the screen print version is in sRGB. Also I have to use Firefox to properly view this post on my system, in Internet Explorer both attachments are incorrectly displayed.