Scroll down in the Compatibility Matrix to the section with the header "Server Automation Core Server Support" for a list of available OS Platforms you can install HPSA on. Various versions of RHEL, SunOS, and SLES.
The compatibility Matrix breaks out the list for the various components of HPSA and what platforms they can be installed on. The Infrastructure components (cores, slice, etc) must be on Unix based OS's. I'd recommend Linux, as our experience with putting HPSA on Solaris SPARC server has been horrendously slow. Perhaps a Solaris Intel host may be a different story. We put ours on RHEL.
The agents can be installed on nearly every modern day Server OS like Windows, Linux and Solaris. But the Core MUST be on Unix. No way around it.
The Windows Patching Cache feature still runs on Linux and is a part of the Slice Bundle IIRC. It has to do with distributing the load of agent deployments to large volumes of Windows systems, and possibly for distibuting the workload of patch downloading.