

I see a couple of other comments reccomending exfat; I’ve had problems with exfat with both the Steam flatpak and the Steam system package. Exfat does not support linux symlinks which are needed for some if not most Steam games to work properly. You will have to re-install your games onto an ext4 or linux-friendly filesystem, for Steam at least.
Emulation and GOG is a different story though. I have both on an exfat drive and I can access and play them with both windows and linux.
In terms of security, you will be at a slight risk using an unsupported os in the future. But hey, some people I know are still on Windows 7, so it isn’t a huge risk. As long as you practice basic computer hygene and have an antivirus running (windows defender (easy), malwarebytes (secure), or clamAV (open source) are decent picks) you’ll be fine.
That first sentence hit me like a truck