Tim is right. The Intel C++ Compiler aims mostly for compatibility with the Microsoft* compiler on Windows* and gcc* on Linux*. There are source and binary differences between the two. For example, you use __declspec on Windows* whereas you would use __attribute__ on Linux* for certain compiler extensions. From a binary perspective, there are differences in the ABI on the two operating systems that can affect how the compiler is required to generate code that can affect optimizations.
Where there are no such requirements, you can expect the Intel compiler to behave pretty similarly across platforms. PGO for example works exactly the same on both platforms, except for the slight option name changes Tim refers to.