Apples and oranges. Linux distros are made up of software from many different sources. The people who make the kernel are not the same people who make KDE or GNOME or XCFE or the display system (X or Wayland in the near future), or even the init system (sysvinit, upstart, systemd). These different groups do work together to varying extents however.
The thing about the different software in a Linux distro, however, is that it's all freely-available. It doesn't cost me extra to switch from GNOME to KDE because I think GNOME sucks. It doesn't cost me extra to add the "Lancelot" menu in KDE because I don't like the regular version. They're all easily available with "sudo apt-get install [software]". Even better, I can pick a distro that's closer to my ideal instead of adding software to a distro that wasn't really intended to have that software (for instance, pick Kubuntu or Linux Mint KDE edition or OpenSUSE if you want KDE, rather than picking Ubuntu and adding it manually). There's lots of different distros, and different versions of distros.
With "third party software" in Windows, not only is it a pain to obtain something to address some shortcoming in regular Windows (I have to go to some website, download it separately, then go through some separate install program, reboot the system, etc.), I have to pay extra for the privilege. And then what if the third-party software is crap? It's not like I can try it out for a while before buying. With Linux software, I apt-get install it, run it for a while, and if I don't like it, I just apt-get remove it and try something else.