Pois é, não funciona no Windows. Mas tem gente trabalhando nisso :D

Microsoft Support :
"Unfortunately there is nothing the Windows platform to render Avatars with. Unlike Xbox which has complete native support for Avatars, Windows has nothing. So we made a an effort to at least make it not fail on Windows so you can still build, and then test on the console.

However our XNA Community has some passionate developers and I believe there is wrapper in the works to at least render bone data in Windows for debugging purposes. If you follow this thread on our forums you will get some informationand links regarding the effort.
http://forums.xna.com/forums/t/32943.aspx?PageIndex=6"
Vale a pena dar uma olhada :D