Works in Windows too. Has for as long as I can remember.
Er... Maybe as long as YOU can remember but I definitely remember the days when DOS didn't have tab completion. I think it was with NT that cmd came out of the box with tab completion.
No, it is to do with the shell you are using. Leopard might use an old version of Bash or it may not be configured correctly.
It's a config issue. Terminal, OOB, should be configured for tab completion.
Customizing tab completion behaviour is something that all command line geeks will eventually end up dumping hours of time into.