To upgrade Exchange 2019 from CU14 to CU15, you don’t need to upgrade your Windows Server 2019 to Windows Server 2022. However, for future deployments and better long-term support, it is recommended to install Exchange Server Subscription Edition (SE) on a newer operating system like Windows Server 2022 or Windows Server 2025, once it is released.
It’s important to note that upgrading the underlying Windows OS on an existing Exchange Server is not supported. Therefore, if you plan to build a new server or migrate to Exchange SE, it's best to install the latest Windows OS before deploying Exchange Server to ensure the setup remains supported for a longer period. You can do in-place upgrade from current version to Exchange Server SE.
You can refer this link.
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