Just putting this up so that people will know that ligatures work in Windows gvim. Hopefully somebody can pick up on the documentation which currently lists gvim as not working.

To get the ligatures to work, put the following in vimrc:
set renderoptions=type:directx
set encoding=utf-8

Sometimes the ligatures don't appear immediately after typing. You can manually get it to appear by doing screen refresh CTRL+L.

If turning on directx makes scrolling unbearably sluggish, a couple of things you can do:

1. turn off relative numbers
2. turn off line highlight (I changed the colour of my cursor to be brighter so no pressing need for highlighted lines)
3. set in renderoptions for directx to use GDI for rendering.
   renmode:2 or renmode:3

For more on the renderoptions, check :h renderoptions.