I doubt there is a "Windows telnet client with command history". I've looked and could not find one. puTTY is bee's knees and if it does not have it, then nobody does. Another one plainly says 'ConEmu is not a shell, so it does not provide “shell features” like tab-completion, command history and others.'
But neither do telnet clients for for OSX/*nix have a history support. I imagine that's because most everywhere it's done server-side already - e.g. i remember Cisco (and alike) CLI do.
You are lucky to have that rlwrap wrapper. Our of curiosity, doesn't it cause issues with "hot keys" like ctrl-C and ctrl-S? Like having to hit Enter after ctrl-C to interrupt.