Yes you can definitely write to SD with these... in Windows or any OS that it works in. I would tend to think your other reader was either defective or an exception to the rule, it is normal to be able to write to SD with a reader.
In the SD slot, there is a little metal tab on the side that makes a contact based on the WP tab on the card. If you don't know for certain that yours is supposed to write-protect always, i'd suspect that tab is bent or missing, something similar to that unless you're only trying one SD card and the particular card has something odd about it's dimensions.
The write-protect feature is solely based on the reader though, the SD card's tab is like a floppy tab, does nothing electrical on the SD card itself. Opening it you "might" be able to bend the tab, but its pretty precision work. maybe using a needle might do it, or maybe i'm just leading you on a wild goose chase.