The NTFS warning is a little disingenuous. I wouldn’t recommend people go with it if they’re choosing Linux only obviously, but I’m going to say with years of personal testing about 99.9% of things work just fine using an NTFS drive. I think it’s been years since I had any kind of issue with game data that I attributed (and maybe falsely) at the time to the NTFS filesystem.
In steam you’ll need to symlink your compatdata folder to a linux filesystem, but that’s about it.