UNNEST is in the SQL standard. Oracle has equivalent functionality with different syntax (the predefined collections tools, from what I understand). This functionality is also present (as UNNEST) in Google's cloud data warehouse. Presumably others.
Microsoft simply lags other platforms, and has for many years.
My bias towards DB-agnostic solutions is to avoid vendor lock-in. My bias towards PostgreSQL is due to their stated policy of hewing close to the standard wherever possible. This means that queries written for PostgreSQL tend to work in other DBs, when the functionality involved is present, and the other DB's "standards compliant mode" is turned on. (MS SQL Server does not turn that on by default--another strike against them in my book.)