There may occasionally be good reasons for implementing your own locks that don't use the Windows OS synchronization objects. But doing so is a "sharp stick." It's easy to poke yourself in the foot.
Here's an example: If you know that you are running the same number of threads as there are hardware contexts, and if the latency of waking up one of those threads which is waiting for a lock is very important to you, you might choose a spin lock implemented completely in user space. If the waiting thread is the only thread spinning on the lock, the latency of transferring the lock from the thread that owns it to the waiting thread is just the latency of moving the cache line to the owner thread and back to the waiting thread -- orders of magnitude faster than the latency of signaling a thread with an OS lock under the same circumstances.
But the scenarios where you want to do this is pretty narrow. As soon as you start having more software threads than hardware threads, you'll likely regret it. In that scenario, you could spend entire OS scheduling quanta doing nothing but spinning on your spin lock. And, if you care about power, spinlocks are bad because they prevent the processor from going into a low-power state.
I'm not sure I buy the portability argument. Portable libraries often have an OS portability layer that abstracts the different OS APIs for synchronization. If you're dealing with locks, a pthread_mutex can be made semantically the same as a Windows Mutex or Critical Section under an abstraction layer. There's some exceptions here, but for most people this is true. If you're dealing with Windows Events or POSIX condition variables, well, those are tougher to abstract. (Vista did introduce POSIX-style condition variables, but not many Windows software developers are in a position to require Vista...)