@werner I added an implementation https://dev.gnupg.org/D622
that matches Linux behavior and avoids the message about secure memory not being supported on Windows. The change is scoped to the pinentry tool and intentionally follows Linux behavior. Does this approach look reasonable to you?

I create diff with implementation via VirtualLock WinAPI: https://dev.gnupg.org/D622

secmem: Add VirtualLock support for Windows.

Thanks all. It is a bug in Win32 OpenSSH. https://github.com/PowerShell/Win32-OpenSSH/issues/1953 it is already fixed. I think the issue will be resolved after the update is shipped. I could use ssh -T git@github.com as a workaround.

Authentication succeed if I pressed enter after:PTY allocation request failed on channel 0

I try WinGPG 4.1.0, and I receive an error:
ssh git@github.com
PTY allocation request failed on channel 0