I think exFAT would be a step down from NTFS. NTFS is a journaling filesystem which makes it a lot more robust against data corruption than exFAT. It also has a number of more advanced features (for a 30 year old filesystem) like symlinks, transparent compression, and sparse files. NTFS is also less prone to fragmentation than the FAT family of filesystems. On the other hand, exFAT doesn't eliminate any of the potential compatibility problems (like the potential to create a file named "C:"). The only thing exFAT has going for it is that Microsoft has actually published a specification for it, but in practice NTFS has been reverse-engineered enough to have multiple reliable third-party implementations.

If you need Windows and Linux to access the same filesystem, NTFS is the least bad option (the best option is probably setting up a NAS for this amount of data). Another option is to install third-party ext2/3/4 or btrfs drivers on Windows, but last time I looked into this, they weren't very robust.

Would it be better to reformat the D and E drives as exFAT if I can cycle the content through another drive or something? I'd like to be able to access those two drives under both Bazzite and Windows.

Ideally yes.

If you can't then it will still all work most of the time but occasionally the drives will unmount from linux with block errors etc and will not work until you boot windows and run chkdsk. You can use ntfsfix on linux but it doesn't always work.

Imo it's best to leave D and E as NTFS. Maybe down the line you'll end up with some swap space (maybe after you get that SSD for Windows), but for now it'll work. I'd focus on getting the C drive empty as you can using the spare space in your other drives, then use it for Linux with a 200GB partition at the end of the drive for Windows.

I can't advise re: games.