FWIW I can confirm that I recently got dfx version 0.6.24 working fine on WSL2 in an Ubuntu 20.04 shell (after installing node and npm, IIRC).
You can use the sdk from the shell and, supposedly, also use remote editing in VSCode running on Windows, though I did not try that myself. I used Chrome on Windows to access the frontend installed on Linux via dfx.
I did not, however, use this setup in anger, so your mileage may vary.
Dfx on windows for beginners seems to contain some useful pointers.