Yep, this is Process Explorer. You will of obviously have to use a different tool on Linux, since Process Explorer is Windows only (gtop will probably do just fine).
There is no heavy GUI stuff going on during the loading of a project, merely a list of filenames (wxArrayString) is looked at one by one and added to a linked list (or several lists). Since this is the very same code on Linux and Windows, I dared to make that comparison. If wxArrayString and wxList leak memory on Linux (or the subroutine that calls them does), they leak on Windows, too.
Obviously, you could not assume the same if we were talking about some heavy widget drawing stuff