Which Linux distro should I try for privacy, games, and creative work?

Fedora KDE would be a good starting point. KDE Plasma gives you lots of control over the panels, menus, and desktop layout, so you can make it feel fairly familiar or change it up completely. Fedora is also a reasonable development choice if you like relatively recent packages without committing to a rolling release.

KDE is the desktop environment, not the distro itself. You can find it on other distributions too, including Debian, so you aren't locked into Fedora if you prefer a different base.

Check the Adobe situation before switching. There isn't a straightforward native Linux setup for the Adobe apps you mentioned. Some Photoshop versions may work through Wine with extra patches, but that can involve compiling software and compatibility varies by version. I wouldn't count on it for essential work without testing your exact setup.

If Photoshop is central to your workflow and alternatives don't suit you, keeping a Windows installation for that work might be the least frustrating option.

For games, Steam and Proton make a lot of Windows titles playable, but don't assume every game in your backlog will run. Indie downloads can vary too, depending on whether they include a Linux version or need a compatibility layer. Test the games you care about most before wiping Windows.

Ren'Py and Blender have Linux support, and Unity is also an option, so the development side is less likely to dictate your distro than your Adobe requirements.

Try a KDE desktop in a virtual machine first and see whether you enjoy the workflow. Keep backups of your files, and don't run commands you don't understand just because a guide tells you to. You can experiment with more hands-on desktop setups later without making them your first hurdle.