He was probably referring to PGP signed messages and not Bitcoin signed messages.
You don't have to move at all; that's what WSL is for. After following my instructions, launch Ubuntu through WSL (you should be able to launch it easily by typing in "Ubuntu" in the search bar), create a new key pair using Trezor's instructions, type in explorer.exe . and put the files you want to sign/encrypt or verify/decrypt in the new explorer window, follow Trezor's instruction again and you should be able to copy the output files from the same explorer window.