Piracy: ꜱᴀɪʟ ᴛʜᴇ ʜɪɢʜ ꜱᴇᴀꜱ

Yeah, the games you want to play on Linux, you should install those to a drive formatted with ext4, btrfs, or done other Linux native filesystem. Specifically you will run into issues using things like Lutris because setup scripts largely assume this to be the case and make use of things like soft or hard links.

And while ntfs has similar functionality like junction, the standard Linux tool to create links ln and other basic commands like cp don't work with ntfs (afaik Windows still doesn't even expose that functionality from ntfs) and you'll see errors similar to what you described, either looking like a permissions error (eg unable to create) or depending on the tool you may get a more specific error.

I have less experience with Heroic but if you want something close to turnkey Linux gaming of Windows titles a Linux filesystem is non negotiable unless you feel like debugging things any time sometime doesn't work. From my experience with Lutris that's not the only reason you'll see issues either and your ability to diagnose and resolve those as they come up will be a factor.

You should also get familiar with wine and specifically valce's proton, figure out the command line invocation that will launch a title through proton like steam does since i imagine you aren't running these through the steam client. Finally look into proton-ge (glorious eggroll) which i use almost exclusively for Windows gaming on Linux.

Also learn what a wine prefix is and strongly consider using a different prefix for each game. Its just folders and for transparency you'll have redundant files across them, but it lets you have different sets of dependencies for each title. So like one game you might need mono (open source c#) but another you might need actual C# and have wine also handle running that. This is a case where installing both might make neither game playable if both games and both dependencies are in the same prefix.

The biggest issues you'll run into that you may not be able to resolve with any Linux gaming setup that is running Windows software is anti-cheat. Epic's EAC can work for some titles, I've seen steam deck specific instructions, but my game library is single player heavy so i rarely am challenged by these. Steam Deck adoption has helped there but it's still slow going.

I have Baldurs Gate 3 and BG3 Mod Manager all Windows native running through steam and proton on my Debian tower, just to underscore the success of this approach

tl;dr use a file system that supports hard and soft (symbolic links), use proton-ge and a separate wine prefix for each game