You should be looking at the hardware and the networking options, not just the OS and the database software. Regardless of the OS and the database you run, if your hardware resources are lacking, you will have issues. For a modest system a good modern PC will work (a modern multi-core processor, a good amount of RAM, high speed spinny disk or an SSD, etc), and server-grade hardware or OS may not be required. That said, you will typically get better performance with server-grade hardware and a server-grade OS.
Another question is whether or not you are planning to run the database on the same machine as the Ignition Gateway. If you are, you will win on data transfer speed but may pay for it in performance if your hardware or the configuration are lacking. This is especially if you choose MS SQL Server as your database, which is a powerful and well documented database but a very memory hungry one and easy to misconfigure.
All things considered, Linux servers are the most robust option, but (1) you cannot run Microsoft software on them, and (2) it helps to have some prior experience with that OS.
As far as the choice of database, go for the one you or your customer are more familiar with, but stay away from SQL Server Express unless you are ok with it accepting only one connection at any time, and are willing to keep a close eye on the amount of data logged and clear old data regularly.