The server must be the only one to have the whole kwoledge of the map. Clients must only know what the player must know. So in the example of the fog of war, the server must never send to the client any data any portions of map which are in the fog of war. And that's the same for the rest. I don't know how this is coded in Glest, but if it's not designed like this, it's most probably buggy and should be fixed.
So if any cheating is possible, it's on the server side, not on the client side. Then we can play on servers that we trust.
No, windows is not and should never be "recommended" ! Not only Glest is a Free software so in this spirit must work at best on Free OS. And second point, I'm not sure most people on this forum use windows. At least on Glest IRC room, where we currently find players to play over the internet, nearly all people use GNU/Linux. So, Glest works on linux and windows, just keep it like this.