I can't say that has been my experience since Windows 7. Even Linux these days, specifically I have been using SuSE for several years now, the setup is surprisingly easy.
Back in the days of Windows 3.1, or Windows 2000, and perhaps even Windows NT x64, I would agree with you but just not now. Some motherboards even come with the ability to upgrade the bios over the internet without having an OS installed. Things have gotten so much easier that I would have to say if you have not built your own in a while, you should try it.
I've been doing it since I built a 386-SX16 back in the early 90's, and it is almost trivial these days by comparison. In addition, I worked for a small company that built a hardware product which needed a PC. I convinced them that building their own was the way to go. They subsequently hired someone who had no technical background to build them. She told me that she could not build one, and I told her yes you can, trained her, and in less than a month, she was doing just fine.