In addition to the good info from @FriedEgg, I'll mention these possible differences:
If you have a corporate firewall and proxy server for Internet traffic, you might need to use the PROXY* options on PROC HTTP. On Windows, it might just use your local Windows settings and you don't need to set the proxy info -- but on Unix it could be different -- all depends on your network config.
As @FriedEgg said, SSL support on Unix requires some secure libraries that must be referenced in environment variables or SAS options (SSLCALISTLOC).
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