As usual: begin with Linux Mint (Cinnamon), that's the best beginner distro.
Steam is natively supported. Gog and Epic are easy using Heroic Games Launcher. GamePass is impossible.
If you need Photoshop, you can run it through wine, at least the old CS6 version runs fine. I think I once had CC 2014 and it worked well, too.
Spotify and Discord work well. As for VPNs, you'd have to be more specific.