I know you're on ubuntu, but installing programs depends on your distribution. Some programs are in your software library, some aren't. But there will always be a way to get the program. For instance, I use Gentoo and Mullvad. The way I set it up is with Wireguard so I control it through the terminal, this is because Gentoo has no mullvad app. Otherwise, you can often add new libraries to your system. Again, on Gentoo Steam is not in my repository by default. So, I added the steam repository to my system so I could get it. For Mullvad, I'm pretty sure they offer a deb package, which Ubuntu can use. Otherwise, some other distributions offer a mullvad app in their repository by default. Try other distributions and see what clicks. A lot of linux is experimentation. I personally prefer doing a lot of things fairly manully, so I use Gentoo with essentially only a terminal for control. Linux Mint, Devian, Arch, Void, Nix, Gentoo; there's tons of choices so there's going to be something that you click with.