I can give you an answer to "Why is it slower?". The Matlab website makes the following points:
MATLAB performance is similar on Windows®, Mac OS® X, and Linux®, although differences can occur among platforms for the following reasons:
- MathWorks builds its products with a different compiler on each platform, and each has its own performance characteristics.
- MathWorks incorporates third-party libraries into its products that may perform differently on each platform.
- The operating systems perform differently, especially in the case of disk- or graphics-intensive operations.
You can attempt to negate the last point by running comparable benchmarks for CPU and disk IO but unless you find a huge flaw (eg you're accidentally using an awful partition format or your system is only showing half a CPU or you have CUDA enabled in Windows but not in Linux) the other two points are not something you can solve.
What you're most likely seeing at the moment is a cruel reality: developers put more time into optimising their Windows builds because that's where most of their market is.
I would definitely suggest you talk directly to Mathworks. They're almost certainly aware of how Matlab should perform on stock systems so if you're deviating away from their figures, there may be something wrong that they can help you identify.
And even if you are seeing what they expect, by bringing this up with them they might be more inclined to fix the underlying problem.