Windows console now supports supports ANSI escape codes, but we need to enable it using SetConsoleMode with ENABLE_VIRTUAL_TERMINAL_PROCESSING flag.
https://docs.microsoft.com/en-us/windows/console/console-virtual-terminal-sequences.
Syntax hightlighting now works fine on Windows:
https://i.imgur.com/P0i04A7.png
This should be #include "lldb/Host/windows/windows.h". Otherwise you're getting the system windows.h file. If that's what you wanted, then it should be <windows.h> instead of "windows.h", but that's never what you want, we should always be including LLDB's wrapper around windows.h instead.