This only applies to the Microsoft provided USB Class compliant midi devices. With a dedicated driver such as from RME or iConnectivity, devices on Windows also can be multi-client.
OSX doesn’t have this problem at all
Live supports sysex since v10. Sysex is not filtered out, but one still needs to be aware of Live’s one port and everything is channel 1 idiosyncrasies.
Tune reqest is not sysex but “system common” and is indeed filtered out. I have a long standing open bug with Ableton because of that (which I found out when trying to use Tune Request from the MKS80 template Roland MKS-80 - #27 by markus.schloesser )