SteamOS, Bazzite or CachyOS for a new gaming PC?

Bazzite would be my pick if you want the console feel without giving up a normal desktop. It has gaming-focused options as well as KDE and GNOME desktop variants, so check which image matches how you want to use the machine.

Its system is more locked down than a traditional distribution, which can change how you install certain software. That doesn't stop you doing ordinary desktop tasks, but it's worth checking your VPN and any other must-have apps before committing. Being Fedora-based doesn't automatically mean it'll be noticeably slower in games.

SteamOS is appealing if the Deck-style interface is the whole point. For a custom build, though, check support for the exact graphics card and other hardware before assuming it'll install as smoothly as it does on a Deck. Its installer may also feel less polished than the alternatives.

I'd look into how your VPN would be installed too. SteamOS is more focused on the gaming appliance experience, so some general desktop setup may take extra work.

CachyOS is the one I'd consider if you also want to learn Linux and tinker. It's Arch-based and gives you a more conventional, flexible system, but that can mean more hands-on maintenance and terminal work.

It can be configured to start Steam in Big Picture mode, though that may need extra setup. If you mostly want to switch the PC on and play, Bazzite sounds like a better fit.

Don't overlook regular Fedora if desktop work matters as much as the console interface. It isn't as gaming-focused out of the box, but it's another route if you want a general-purpose system and don't mind setting up your games yourself.