That's true of Windows, any process running as the same user can read Firefox data files, probably its memory too. Malware do that, and that's why people try hard to avoid malware with AV, security fixes, sandboxing, hardening, education, ...

There is better sandboxing support on Linux, at least on the tooling side. It's relatively easy to use firejail to sandbox every program that interacts with the network. Last time I looked I couldn't find an equivalent on Windows that's freely available. The "Windows Sandbox" thing is the closest but it's fairly heavy and inconvenient. Unlike firejail it doesn't come with profiles tailored for various popular software.