There is a wallet and then there is a blockchain explorer or block explorer. A wallet includes Trust wallet, Enjin etc and an explorer is etherscan. Every blockchain have its own explorer which is used to track tokens as well as transactions, hence the reason we have different blockchains like Tron, Ethereum and their explorers, tronscan and etherscan respectively. Therefore talking or asking about etherscan means you are asking about Ethereum and supported wallets; actually be it could be windows wallet or regular wallet like Trust wallet, they offers same things and are good as well, hence in as much as you secure your private keys, you are safe and can import one into the other. Nevertheless, the only major difference is regular wallets are easily accessible, as they can open or work on smart phones while windows wallet can't.
On the other hand, asking about the wallet which is better to be used for each campaign depends on the campaign and the project in question, if the project is based on the Ethereum blockchain, then you will need an ERC wallet of your choice, and if the project is based on another blockchain, you will be informed as well which wallet to use.
Lastly, in the case of windows wallet being used for a campaign and you failed to exchange it when listed is a different thing. If you used a Windows wallet for a particular campaign, then it could be a new project building their blockchain also if you fail afterwards to sell could still mean that the project might not have succeeded.