No, it doesn't make a difference what OS you format your partition on, although it is generally advisable to use Windows for formatting partitions with Windows-specific file systems.
But: There certainly is a performance difference between using NTFS partitions on Linux and Windows. While Windows uses a native kernel driver, i.e. a very performant low-level driver, Linux uses NTFS-3G
which runs in userspace, i.e. on a 'higher level', and is as such inherently slower.
Some of these performance differences can be ameliorated by following the recommendations listed in the Tuxera NTFS-3G FAQ, the big_writes
option in particular, but I haven't been able to reach Windows-level NTFS performance on Linux so far.
Further reading:
NTFS drive mounted generates huge load
https://superuser.com/questions/613869/ntfs-write-speed-really-slow-15mb-s-on-ubuntu
https://superuser.com/questions/204000/are-there-faster-solutions-for-ntfs-on-linux-than-ntfs-3g