Parts of the configuration are transferable, like your color schemes (uscheme.ini) and lexers (user.vlx).
The rest is not transferable between Windows and Unix, primarily because anything involving path separators is going to be different, and your state file (vslick.sta on Windows, vslick.stu on Unix) is compiled specifically for Windows or Unix. Also, several of the configuration files have different names on Windows and Unix, for example vusrdefs.e vs. vunxdefs.e.
Note, however, that you can transfer or share your configuration directory between any one of our supported Unix platforms, including MacOS X. Just keep in mind, that usually when you transfer between machines, some of your settings, such as search paths are no longer the same.