The HIDPI support in xLights on Windows is definitely "lacking", but that's partially due to the poor HIDPI support in wxWidgets. It's a lot of work to get the HIDPI stuff working well on Windows.
It's currently working very well on the Retina based Mac's. On the Mac, the only main thing that needs to be taken care of is the scaling factor on the bitmap images used in various locations. (this could be done automatically as well if we used resource bundles instead of XPM's, but we need XPM's for Linux) While it does require some extra coding, it's not a ton of places. All of the "size" things for controls and drawing and such is automatically taken care of, nothing needs to be done.
On Windows, however, whenever we size a component, we would need to call the FromDIP methods to make sure the sizes are scaled. What's worse, a lot of places where we'd need to do that is code generated from CodeBlocks which isn't something we can do. There are discussions on the wxWidgets list about making this more automatic like it is for Mac (and Linux when using GTK3) for a future verison of wxWidgets. Just not sure if it will end up going anywhere or not.