All these tutorials are like taking beginner French. If you want to learn French live in France. If you want to learn Vim you have to live in it. Use it for your development full time. Then over time you start to see it's power.
For me on Windows, GVim was the only sane option. Mostly because the Windows console can't fully handle syntax highlighting / italics. However it's also a good transition world. You've got all the power of Vim but quite a few of the commands you'd expect still work. I've practically never need them but it's handy to reduce the confusion / frustration
I fully agree with you, however some people are worried by the loss of their daily productivity especially if they are used to using their mouse a lot, for those I will recommend to start learning vim in their browser to surf mouse-free using plugins like SurfingKeys[1], vimium[2](chrome), Vimperator[3](Firefox). Once used to surf without reaching to the mouse and know the essential vim key, you'll be ready to use vim daily for your dev work, without a big loss in initial productivity.
Personally I like the simplicity of characters-in-characters-out that comes with working with vim in a terminal. I also like to be able to exit to bash and do redirection trickery on my recently saved files. For these reasons, I avoid GVim.
MSYS2 (which uses MinTTY for its terminal) is what I use, and as far as I've noticed it supports all the bells and whistles that the windows terminal lacks.
Both powershell and the dos prompt still go through the console. It's quite amazing to have Vim running in a native Windows prompt but when you use it full time the little things start to get to you.
As far as I know, the Ubuntu shell still uses the console. There is indeed highlighting but basically only 8 colours that are dubiously split to make 16. A recent Windows update was supposed to give 256 colours but I tried and couldn't get it to work. Even then though you still haven't got bold or italics. It's these little things that I missed.
For me on Windows, GVim was the only sane option. Mostly because the Windows console can't fully handle syntax highlighting / italics. However it's also a good transition world. You've got all the power of Vim but quite a few of the commands you'd expect still work. I've practically never need them but it's handy to reduce the confusion / frustration