??? As a Linux power user for over a decade I genuinely don't know what possible caveat there is. I've used NTFS drives under Linux every day and the only problems I've ever had were when I mounted the drives in Windows because it loves to fuck with NTFS settings and set dirty bits and stuff.

I dual-boot Linux and Windows, on their own drives, and then have two big 4TB shared NTFS drives on which EVERYTHING - Media, games, programs, docs, etc goes. I dinnae overexaggerate when I say I have had a total of zero problems that weren't directly caused by Windows.

yeah ime they will just bork after a while and need chkdsk or defragging which you can't do on linux so it's a big pita

Wow this sounds like a great setup

I strongly recommend that users set up separate partitions for home and root.

This is a very good idea (and my personal practice). It allows you to replace the OS without touching your personal files. Only reason I didn't suggest it is it looked like available space was already very limited.

but I think btrfs does everything and is easier to set up for a new user?

It is certainly possible to use Btrfs subvolumes instead of a separate partition, but many Linux distro GUI installers do not have robust support for this and will prevent you from using the same partition for different mountpoints (they typically don't understand or provide a way to set the btrfs-specific subvol= mount option). On a manual distribution like Arch or Gentoo this isn't a problem at all, but I've had to get creative when using GUI installers for Debian and Solus. Fedora's GUI installer "supports" it, but last time I did it, it triggered another bug in the process later on based on a similar assumption.

It is easy enough to do post-install (turning /home into a subvolume and adding it to fstab), but you will still have a hard time later on replacing only the OS, which is the main point of setting things up like this.

If you're dual-booting, there are some potential problems. The biggest danger comes from hibernation. Hibernating one OS and then booting the other OS and modifying the files (even incidentally just by mounting the filesystem), and then loading the hibernated OS will cause very bad things to happen. To the best of my knowledge, the Linux NTFS drivers refuses to operate on a filesystem which appears to be hibernated, but I do not know if the inverse is true.

Without knowing the exact text of the warning you're getting, I'm assuming it is a "this is not officially supported, don't blame us and don't send us bug reports" sort of deal. From what I gather, the most likely cause of problems is the potential for creating files with illegal names on the NTFS filesystem (filenames containing a ':' for instance). There is an unofficial guide on the Proton wiki about running Windows games in Proton which are stored on a shared NTFS partition which covers the relevant potential issues.

If the main risk is games not running correctly, I wouldn't lose any sleep.

This setup is not ideal, but neither is having 10TB of games turned into 20TB of games so you can duplicate them on separate filesystems. A compromise of some sort is required. In the longer run, I would aim to replace one of these NTFS filesystems with a Linux filesystem and install games there that you don't play on Windows any more.