Depends, I do some of that and know others as well. Your primary OS is up to you but a windows guest is mandatory for a malware lab(flare-vm for me) , in most cases a linux vm is also useful as a network proxy for fakedns and pals (remnux is the popular distro). Most reverse engineers live in MS docs though for windows stuff. Plenty of Linux/mac RE too if your job allows you to encounter them. Some like vmware on windows, I do either vbox on windows or fusion on mac.

Actually, it isn't uncommon to have multiple laptops one mac and others windows.