Couple of things: 1 is to run a privacy-friendly OS. AtlasOS is not really an OS at all, but really just Windows 10 stripped of all the spyware. This also removes pretty much all of the security features so you really ONLY want to run this on a gaming-only device, or on a gaming-only sandboxed partition. Otherwise, Proton has made Linux very usable for the vast majority of games.
Second: Look at the yellow boxes on Steam. This is where they disclose all the shady shit publishers are pushing on you. Don't buy games with DRM. Don't buy games with anti-cheat, this is incredibly invasive software. Don't buy games that require you to sign an EULA, which is usually just forfeiting all of your privacy rights. Don't buy "online-only" games.
All games on GOG require no DRM so those are usually a good bet.