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Why not? It works perfectly fine if you install windows first and Linux afterwards. I’ve done it multiple times and the problems only arose during windows updates, occasionally. If windows wasn’t such a piece of shit, what would be wrong with this configuration?
Lose one drive you now have no OS’s where before you might have had 4. One OS per drive.
That is a risk that should be accepted. Still doesn’t answer my question, why shouldn’t it be done?
Let’s say hypothetically that I’m a student who has a mediocre laptop with only a single internal drive. And I need Linux for college, and I want Windows to play [insert a game with shitty DRM that’s unsupported by Proton] with friends. Why shouldn’t I install two OS’s on the same drive?
You never need Linux for college.
Install windows first. Problem solved.
It does answer your question of why it shouldn’t be done.