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I see Groove on Windows 10 but have not investigated it yet.
When I first started with computer audio around 2008, I used Windows Media Server, which came in older versions of Windows, with Roku Soundbridge network player to stream and play .wav files I ripped via Windows Media Player via my audio system DAC. Sound quality was very good even back then.
In general, different devices and software will yield different sound quality depending on how designed and implemented, but in general, Windows or any other oeprating system or program alone is not at all likely to degrade the quality of the source file. An mp3 or flac or wav file of certain resolution should download that way, but that does not mean when played via whatever hardware or software system used the quality will be teh same or even preserved.
I do plan to look at Groove at some point since it appears to be included in Windows 10. I'll report back sometime later once I have a chance to soak it in.
Currently, I use Plex app running on various hardware platforms and/or Squeeze Devices (haerdware and software players) to play lossless compressed FLAC files I rip using DBPoweramp. I also download lower quality lossy compressed .mp3 files from Amazon and Itunes from time to time. Some of these can sound quite godd still with many kinds of music but are technically limited when it comes to ability to deliver teh best sound quality possible at any particular resolution since teh compression is normally lossy and not lossless.