Only Windows. Technically I think you can run games on Linux as well if you use the Proton compatibility layer.
For consoles you must definitely use modem engines with console support and you must also be an approved developer.
I think Gamestudio might still be useful for some of its tools if you want to create BSP-style maps (like Quake) with the level editor or low poly models with the model editor. You can also export the levels and models to more widespread formats (using another tool like Fragmotion as a converter). These can then be used in other game engines as well. This style was used in a couple of fun games over the last couple of years (Ultrakill, Dusk).
On the other hand, you can find similar tools like J.A.C.K. or Trenchbroom or Milkshape3D, UltimateUnwrap, Fragmotion and don't really need Gamestudio for this.
Since Gamestudio is a 32 bit engine you are limited in memory. You can't load gigabytes of textures and
high polygon assets. It is also limited to Direct X9, so no newer features of Direct X11 can be used.
It can definitely have it's charm if you want to display something up to the graphical level of the Wii, Xbox360, Playstation 3 era.
I would call it a vintage engine by now.