The current directory is not automatically in the execution path. This is partly history, and partly a security measure.
Unix is designed as a multi-user system. If your working directory was currently in some folder shared between many users of the system, and your current directory was automatically in the execution path before the system directories, then when you run
standard_system_command you might get something evil one of the other users left in that shared folder instead of the standard system command.
Windows did not start its life as a multi-user system, and so the command prompt has different default behaviors.
In my opinion you should not include ./ in your path. If you have created a script you regularly run then you should put it in a shared folder like /usr/local/bin, or in a personal folder like ~/bin which you add to the PATH. You could also put a symlink in one of those folders or create an alias.