Take Fedora, as you're already used to it. Steam handles Windows games for you. In 99% of cases they just work. Only games that do not run nowadays are games with unsupported kernel level anti cheat. Look at https://areweanticheatyet.com/ to see if your games are supported. A VM won't help you as that is usually blocked by such anti cheat as well.
If you do have a problem with a non-multiplayer game look at https://protondb.com/.
For games from GOG, Epic or Amazon use Heroic. For every other store you can add the launcher or just the game itself to Heroic.