Are they? Compared to other forms (eg. trojans or browser/os 0days) they're not really common. I suspect you have a better chance of getting infected from a site asking you to download a "codec", than you have of the site serving you a malformed media file.
I think running pledge(2) on Windows is quite difficult. :)
(At least, I'm assuming the question here is "What should Windows Defender do?" I agree that the answer to "What should OpenBSD's built-in antivirus do?" is "Literally not even exist," which it already does.)