Gaming on Linux has grown by leaps and bounds, especially if you use steam/proton (And you can run proton on things outside of steam). You should give it a shot before you install Windows to see if it can fit your needs, and only have to deal with 1 operating system.
I use Garuda Linux, and it comes pre-configured to work very well for gaming.
https://www.amd.com/en/products/processors/server/epyc/4th-generation-9004-and-8004-series/amd-epyc-9754.html
Launched June of 2023
128c/256t
$11,900
400w TDP
https://www.intel.com/content/www/us/en/products/sku/240777/intel-xeon-6980p-processor-504m-cache-2-00-ghz/specifications.html
Launched Q3 of 2024
128c/256t
$17,800
500w TDP
I don’t think Granite Rapids are going to flip it back in Intels favor