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.
NTFS drive mounted generates huge load