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?
No advantage over, say, ext4. I mentioned it because it is a good filesystem and bazzite chooses it by default so you probably have it. Also it has the best name.
You can check if compression if enabled by checking the contents of the fstab file (cat /etc/fstab in the terminal). It will say something like compression=zstd. It will likely be enabled.
There is no disadvantage to having compression on. These compression algorithms are designed to be used on the fly and are very fast. The overhead on a mildly modern system is imperceptible.
Whether you get mileage out of it is another matter. At a previous job I saw 20% reduced space usage on a postgres machine. On my laptop however the same stat is just 1%. It depends on the kinds of files you have.