OpenCL has to be enabled at compile time.
The Windows distribution of ImageMagick is compiled without OpenCL at this moment. You will have to compile it yourself to enable this.
You can find some information about doing that here.
The reason it is not enabled by default is because this will add a dependency to OpenCL.dll and this library is not always available on a Windows system. We are working on a change that will dynamically load this library so we can enable OpenCL by default.
On your Linux machine you also need to compile ImageMagick with the --enable-opencl
option. It is possible that your Linux distribution has enabled this by default.