I tethered my iPhone to my Surface Pro several times in the last month or so, all without problems. I tethered in Utah, AZ, and Petaluma by hooking up the Apple 30 pin to usb cable from the Pro to the iPhone, just as I have done with other computers over the years. I know you say that Apple products "just work" but that has not been my experience with 2 iPhones, 2 iPads, and numerous iPods, and an Apple TV. They require fiddling with just as most electronic stuff does.
My suggestion: First try to tether your iPhone to a Mac. If that works, tether it to a second Windows computer before you conclude that the Pro is at fault. It works fine for me, but the tethering process is picky. I downloaded several hundred MBs of podcasts in Utah, AZ, and CA recently with no issues. Good luck and please let us know the outcome.