Don't install SteamOS, it's not meant for arbitrary hardware. You don't need a special gaming distro. You don't need a bleeding edge distro either for gaming, despite what people may claim, unless you have very new hardware. Literally any stable distro, including say Debian or Ubuntu LTS, allows you play Steam games perfectly fine. In the past, Arch has broken stuff, including games, because it was too bleeding edge. Both "too new" and "too old" can cause issues in practice.

You can run pretty much any popular program on any distro, they usually come with them in fact, albeit sometimes with older versions. If you really care about having the newest Gimp or whatever, you can usually install that via flatpak on any distro. Some caveats apply, sometimes the flatpak version is worse in some way, e.g. annoyingly sandboxed off from the main system, meaning it doesn't have access to certain folders or hardware. I would recommend using the distro packages first, if available, and only try other methods of installing software (like flatpak or manual download/install) if you are having issues with your distro package.

Linux supports all the file systems, any USB drive that works on Windows should work out of the box.

Whether you can copy settings over depends on the program. For some software, the native Linux and Windows version's file formats are compatible, some are not (there are definitely native Linux games where e.g. the savegames are actually incompatible). For native Windows games that you run through translation layers (Wine/Proton), that's not a problem of course. It's sometimes not so easy to find where exactly the relevant folders are actually buried though.