Here comes the first release of User-Defined Functions for HDF5 supporting Windows and macOS platforms!
Windows is a tricky platform to support, as there are just so many ways to install the runtime libraries and compilers needed to create UDFs. The way we do it is by resorting to MINGW64, which provides GCC, Python (+PIP), and LuaJIT packages ready to go. The graphical installer takes care of all the necessary steps to get HDF5-UDF up and running for you. The macOS port does not feature a graphical installer, as it's straightforward to compile the project from its source code on that OS.
The missing piece for the Windows build (and for the macOS port) is sandboxing of the UDF process. Please do get in touch if you'd like to volunteer on writing such a feature, as that's not on the top of my priority list.