That's misleading. The language is write once. But unless someone ports the JVM, you can't run the language on a different system.
No it's factual. You don't seem to understand that your knowledge is lacking. The language is open source which was done by Sun. The VM may not be. Sun is not the only one to put out a VM. Microsoft did. IBM did. Depending on the processor used, VMs for Java were released by other parties. Sun open sourced the language. They also put out a VM that works with Windows. Apple has open sourced Swift the language. They are not releasing VMs for Windows.
These days I write PowerShell scripts to automate InfoSec tasks. I would prefer to use Python but the three-letter government agency I work for is a Windows shop.
This still doesn't explain your lack of understanding of programming.