For me Linux is my favorite, there is nearly nothing it can't do, but there is no coercion to use things you don't need or want.
You are not spied on (while wasting your own CPU and bandwidth for that), you don't need to create any account in order to use the system, it doesn't make dozens of calls into the internet only when you open your start menu. Don't want to go any deeper, I think you get the point.
Nowadays gaming on Linux causes way less trouble than it was only a few years ago, many things work plain out of the box when using Lutris or on the commercial side maybe Steam.
I can't say I miss much compared to Windows and on the other hand I have a lot of benefits. Sure, in the beginning it's still some work to get used to it and that can be quite annoying, but for me it was worth it.
But! Not everything is working (the same) in Linux and depending on your needs it may be even no option for you- there are still differences in Software, in support, how things work and not every game does work yet and some never will.
In the end you have to decide for yourself based on your needs, for me it is the right choice, but that doesn't mean it must be for you.
And why Unreal?
Well, it's a bit like a beautiful woman, it was my first real love when it comes to this genre

I had and have a lot of fun in and with this game, a lot of friends.
There are many different mods with lots of (funny) ideas, hundreds of maps, textures, music - so much stuff made with so much love for detail and with passion, and last but not least, a nice and friendly community- in short - I'm home.
Sometimes you have to lose a fight to win the war.