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In my experience, its not too difficult to build Lua using visual studio. Lua is written as standard C, so visual studio will compile it without changes.  Here would be my tips:

Remember that Lua itself is a library. So compile it as a library. Make sure you are not including “standalone Lua” source files in the library project.

Turn off pre -compiled headers. VERY IMPORTANT. You will probably want to turn off PCH in every think that links to it as well.

If you plan to write C++ programs, then compile the library as C++, unless you have a reason not to. If you plan to stick to C code only, then compile the library as C code. Pick one or the other to do your initial builds, then you avoid dealing with mixed models.

I don’t recall any other issues. And I don’t using any Linux environments on Windows for Lua.