There’s a bunch of issues with running on the WSL that you’ve hit on in this thread…
Some of them actually relate to the specific version of Ubuntu that you have running, and so most of the warnings on the Linux install page are relevant, in particular issues with using too old a compiler, as mentioned by @rsmith. This might actually be fixed simply by using a later version such as 16.04.
The other issue is that as far as I know, WSL comes without an X server, so the GUI components can’t run. You’ll have no trouble building them as long as the compile-time dependencies are installed, but it’ll fail to detect a suitable graphics environment at runtime, and give an error message such as cannot connect to X server (as per this post).
In your case, I expect you’ve installed a separate X server, as mentioned in other posts?
If so, then you’ve hit the exact same problem as they did:
which is that you’re very unlikely to find any X server on Windows that will support modern OpenGL (version 3.0 and above). At the moment, the only way to get mrview to run on Windows is the MSYS2 route, as @rsmith mentioned…
No problem running the command-line tools though, and as @rsmith suggested, you should be able to run the two installs side-by-side, so you can use the MSYS2 version of MRView when needed. Not ideal, but that’s probably the best we can do at the moment if you absolutely need to use the WSL…