You will definitely have a nicer experience using VNL on Windows than over a network connection.
No problem to use the license server on the Windows machine, just set it up the same way as for Linux (i.e. run qw_license_config, which also appears in the Start menu under QuantumWise), and choose floating license and enter the IP address of the license server. See the installation guide for details. However, port 6200 must be open between the two machines, so check firewalls also.