I am posting from Ubuntu 9.04 64 bit. Using the libopenal.so that comes with LWJGL2.1, I see EFX being exposed as an extension:
Available playback devices:
ALSA Software on default
ALSA Software on HDA Intel [STAC92xx Analog] (hw:0,0)
ALSA Software on HDA Intel [STAC92xx Digital] (hw:0,1)
OSS Software
Wave File Writer
Available capture devices:
ALSA Capture on default
ALSA Capture on HDA Intel [STAC92xx Analog] (hw:0,0)
OSS Capture
Default device: ALSA Software
Default capture device: ALSA Capture on default
ALC version: 1.1
ALC extensions:
ALC_ENUMERATE_ALL_EXT
ALC_ENUMERATION_EXT
ALC_EXT_CAPTURE
ALC_EXT_EFX
OpenAL vendor string: OpenAL Community
OpenAL renderer string: OpenAL Soft
OpenAL version string: 1.1 ALSOFT 1.7.411
AL extensions:
AL_EXTX_buffer_sub_data
AL_EXT_EXPONENT_DISTANCE
AL_EXT_FLOAT32
AL_EXT_IMA4
AL_EXT_LINEAR_DISTANCE
AL_EXT_MCFORMATS
AL_EXT_OFFSET
AL_EXTX_source_distance_model
AL_LOKI_quadriphonic
So, I don't think it's a problem with EFX not being supported on either Linux or Vista. I am pretty sure MacOS supports EFX as well, but I do not own a mac so I cannot test this.