So now that I finally installed the newly released Anniversay Update of Win10 , went ahead and installed WSL and what do you know? You can kinda "run" (at least barely fire up) GUIs too!
Managed to install "plasma-desktop" set of packages (for KDE) and running "startkde" command actually loads up KDE desktop though bare zombie kinda state.
I used the vcXsrv software instead of Xming even though latter is way smaller download but not updated for a year, former was very recent.
Yes, this is now available to non-Insiders with the version 1607 "anniversary update" build 14393.x which I believe you have installed that's what I meant by "in the newly-released anniversary update".
But all this is still beta - probably many months to go before it's more stable and they update to ubuntu 16.04 LTS