i’ll second debian but with a bit of a warning: for gaming-related stuff, dont use what ships in the repos. its been a while but last i tried, debian stable shipped a pretty old version of wine (the basis of running windows games on linux) and this is one area where it’s important to use the latest. not sure how best to do that, i invested the time to learn arch linux but that is a bit of a committment (very worthwhile though IMO).
winehq itself says to add their own repo to debian, so that might be an easy enough way of doing it.
Plenty of distros do package closed source software that does who knows what. i wouldn’t worry about it for now. if you are on a distro that takes a hardline stance on privacy, it was probably gone a while ago, but i don’t actually know any such distros right now.