Finally ready to switch my final windows device over to linux, but I'm running into a problem. NTFS drives aren't a good idea under Linux, but my 4 NTFS drives are this full. I own zero extra hard drives, and do not want to spend $300 on another one. 
How can I bring these files into Bazzite WITHOUT just wiping everything and re-downloading 10+ terabytes of movies, shows, music, games, and other data I refuse to delete?
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.