From reference manual:
The GtkPlug and GtkSocket widgets are now X11-specific, and you have
to include the gtk/gtkx.h header to use them.
Afaik, there is no list of features supported by which backend/os. For APIs difference, GtkSocket is pretty much the biggest difference. But there are several backend specific APIs, usually with a different namespace, such as x11/win32.. This is quite common with portable libraries.
I don't know a proper way to embed an application on win32. There are other stackoverflow questions about this, since this is not gtk specific. For example QT How to embed an application into QT widget that you could adapt to Gtk+ application.