On the LLDB Status page:
"LLDB on Windows is still under development, but already useful for i386 programs (x86_64 untested) built with DWARF debug information, including postmortem analysis of minidumps. For more details, see the Features by OS section below."
In that section one finds:
Feature ... Windows
...
C++11 ... Unknown
Oops! How many trails do you want to blaze at once?
On the other hand, GDB most likely can handle the dwarf information in whatever Windows appropriate object files LLVM has otherwise created (certainly the program executable).