So, I downloaded Windows Mail to test it.
I added one of my Gmail accounts
I clicked on the settings icon in the lower left
Clicked on Manage Accounts and the option to "Link inboxes" is shown. I don't have a "Delegate Inbox" to link.
However, I would presume that if in Gmail everything was set up properly, this is where you would add your account in Windows Mail. Those steps can be found here: