The risk of delivering a Duff binary package is too high to be worth the trouble trying to build it in someone else's box.
You clearly need the Linux box to pound around, checking every time you make a new version. Therefore, it will not be a hassle to build it on this box. Using a Linux VM, though, is probably a good idea, as you can make sure that the virtual machine is in exactly the same state (and known state) before each build.
I assume that you are at least going to smoke, check each issue.
Markr
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