Why not stay with Arch? Fedora has an uncertain Future due to RedHat. Anything else is probably fine, but it depends on what you want to achieve.
Regarding VM gaming it is working fine for the most part, but there are a few anti cheat engines which block VMs so your milage will vary (Escape from Tarkov, Rainbow Six Siege and I think Valorant don't work, most other games do last time I checked). Keep in mind you need a mainboard which plays nice with IOMMU, a CPU with enough cores and you probably want two graphics cards. One dedicated for passthrough. If you don't have a purpose built computer for this your results might not be great.
Playing Windows games in a Windows VM is not escaping Microsoft though, but others already said that.