I can assure you this is not the case.
I've tested Cyberpunk 2077 on Ubuntu (not my daily driver) and it works like you're playing on windows. Only downside is that you can't use ray tracing since Nvidia kept that tech proprietary and exclusive to windows for now.
See, Linux doesn't fully supports nvidia gpu, but still I'm having a great experience.
Both of them have their pros and cons. It's a matter of sacrificing convenience or security. I2P is surely a go to for me over Tor/VPN when it comes to anonymity. You will come across variety of information which is not available on clearnet/tor, but clearnet has the upper hand in abundance.