It looks like mercurial's Windows support is even worse if you use the official source distribution. Some of that obviously makes its way through even in the Windows-friendly package from Bryan O'Sullivan.
I noticed this as I am now evaluating the ease/difficulty of contributing to each project (I even get to fix the same thing in both bzr and hg).
However, I will need to fix even basic things like "hg diff" in Windows if I want to contribute other Windows fixes. I didn't have to do anything like this using bzr, because the core distribution already works in Windows.