No Stupid Questions
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Yes, security concerns are always reasonable, specially when you're switching to different software.
Generally speaking most Gnu/Linux distributions are safer than your average windows install, mostly because on windows you download .exe files from developer's website. Which exposes you to a higher probability of a man in the middle attack between your computer and the website or simply you clicking a fake clone of the website on the search engine.
Installing software on windows is scary, I tend to double check the link from on the search engine, and then on wikipedia and check the wikipedia change history too to make sure the link on wikipedia wasn't edited.
Even if the link is legit it's possible that the developer simply forgot to pay for the domain, someone snatched it and is now serving a malicious version. Or simply the server may be compromised.
On Gnu/Linux on the other hand, usually software is installed via the repositories which are signed by the mantainer's pgp key. That means that even if your server is compromised the package manager wont install the software if the signatures don't match, if they do match, it's still possible but very unlikely that the software was compromised somewhere in the supply chain, from the original developer to the maintainer, but as soon as detected the software is quickly removed and it's usually on your distro's security notices.
Gnu/Linux is also generally more secure because when you update the system (and you should do it frequently), it updates also all installed applications (assuming you installed them via the repo). So while on windows you still have that same old version of a PDF reader or a video player since you first installed it that may have a known exploit (yes, I know chocolatey exists, but I'm talking about a standard install), on Gnu/Linux the applications are usually up-to-date.
Of course a system is only as secure as the weakest link, if one application is insecure that may compromise the whole system, that's where you should read hardening guides, you can sandbox applications with bubblewrap or firejail, for sandoxing applications, you can install linux-hardened if you have an arch-based distro, between other things that I never got my head around like SELinux or apparmor.