Kali is a pentesting distro, it's not designed for malware analysis. The distro you'd want to use for malware analysis is REMnux, but it's mostly meant for static analysis. Static analysis is fine, but you may not be able to dig deep unless you're familiar with decrypting code and using tools like Cutter, Ghidra, EDB etc for debugging. Naturally you'd also need intimate low-level coding experience, familiarity with assembly language and/or Win32 APIs (or whatever APIs the malware is using). So this isn't an area a casual security researcher can just get into, without some low-level coding experience. But you can at least do some beginner-level analysis like analysing the PE headers and using some automated tools which employ signature-based detection, or you could analyse strings and URLs embedded in the malware; stuff like that.

Dynamic analysis is far more easier to get into and more "fun", but the problem is of course, with most malware being made for Windows, Linux is kinda irrelevant in this scenario. But you could still run Linux as a VM host and run the malware inside a Windows VM. The problem with running malware in VMs though is that these days any half-decent malware would be VM/context aware and may evade detection, so for accurate results you'd really want to run the malware on a real machine, and use tools like procmon, IDA, wireshark etc for analysis. But again, decent malware may be able to evade tools like procmon, so it can get quite tricky depending on how clever your malware is. You'd normally employ a combination of both static and dynamic analysis.

Industry pros these days often use cloud-based analysis systems which can account for many such scenarios, such as Joe Sandbox, Any.Run, Cuckoo etc. These offer a mix of both VM and physical machine based analysis. You can use these services for free, but there are some limitations of course. If you're doing this for furthering your career, then it's worth getting a paid subscription to these services.

Coming back to Kali Linux - it's not something you'd want to install permanently on physical machine, as its meant to be an ephemeral thing - you spin it up, do your pentesting, and then wipe it. So most folks would use it inside a VM, or run Kali from a Live USB without installing it.

There are also alternatives to Kali, such as ParrotSec and BlackArch, but really from a pentesting toolbox point of view, there's not much of a difference between them, and it doesn't really matter (unless you're a Linux nerd and like the flexibility Arch offers). Most industry folks use Kali mainly, so might as well just stick to it if you want to build up familiarity in terms of your career.

As for your Surface Go - you could install a normal daily-driver Linux distro on your Surface if you really want to, and then run Kali under KVM - which is personally how I'd do it. Running Linux on Linux (KVM) is pretty convenient has a very low performance overhead. You can also employ technologies like ballooning and KSM to save RAM, if your system has low RAM.