If you look at the Steam store it will let you know what games are "verified" "playable" or "unsupported." I've had success with every game I've tried to play except one. Which was labeled as "unsupported" so I should have known.

You can install windows on it, which it the beauty of the Steam Deck. I don't believe it's essential for anything except for a few specific games which have anti-cheat, which doesn't play nice with Valves compatibility layer.

You can even get the Epic games store and Ubisoft games running on it with some work arounds.

Best of luck to you, I love mine.