I was playing with "Ubuntu for Windows" on Windows 10 last week. While it is an interesting effort (and I was able to upgrade from the default Ubuntu 14.04 (Trusty Tahr) userland to the 16.04 (Xenial Xerus) userland with minimal dificulty), performance does not match that of a Lubuntu 16.04 VM on the same hardware running in VMWare Player. I was running repeated Monte Carlo-type simulations, and the same scripts and executables took twice as long to run under Ubuntu for Windows vs. the VM.
So, while interesting, it is still beta (and is labeled as such, and requires "developer mode" to be enabled in Windows 10), and it's not quite ready for prime time yet.
If you're getting that kind of performance difference, it sounds like you're really bound by I/O or (faulty?) thread synchronization. But, yeah, I would never use WSL for performance. For easy transparent prototyping, it's great and I've basically stopped using cygwin.