Thing to remember:
1) If you have a Macbook Pro with a discrete graphics card, Windows will use that as Apple hasn't written drivers that let Windows switch to the the 9400m.
2) I have never seen a Mac laptop run Windows (any version) without ANY issues. On my mac, XP would run hot and have about 1 hour battery life. Windows 7 had awful trackpad support. My friends' Macbook Pro's trackpad drivers suck too. Perhaps it's bad luck, but I'm more inclined to believe that Apple just writes bad drivers to deter people from using Windows.
3) Windows does run hotter than OS X. By a very very little, but the CPU isn't throttled down quite as aggressively. This shouldn't account for all of the heat, but some of it.
4) Make sure that the energy savings is set to max-battery, otherwise it might not even be throttling the CPU down at all.