There has to be a better way. I think Linux's flatpak is a reasonable approach here, although the execution might be rather poor. I want a basic set of trusted tool that I can do anything with, and run less trusted tools like GUI programs in sandboxes with limited filesystem access.
There is also sandboxing configuration via Intune for enterprises.
Linux excels over Windows in the area of security by a wide margin, I have no qualms about running an app on Linux versus Windows, any day of the week.
Windows at least has a proper ACL system; on Linux it just takes a single compromised executable to loose everything.
No, this is wrong but might be true if you are talking about Linux package manager vs. Random Windows .exe on internet. But if you are talking about Secure Boot, encrypted disk, sudo etc. Windows is more secure but it looks like https://amutable.com/ will make Linux more secure like Windows.
Edit: Some insecure things on Linux: Dbus (kwallet etc.), sudo, fprint, "secure boot".