It's true that Windows has better compatibility and is more stable in games. But SteamOS's proton is in beta state in my opinion and needs some time to resolve problems but Valve works hard. Maybe is good to install Windows until proton mature.
If Steam Deck will succeed then maybe game developers will make games native and optimized for Steam Deck. I don't know if windows have better power management than full Linux desktop OS but SteamOS is not full Linux with all services that are running in standard. It is kernel, some libraries and steam GUI.
I use Windows 10 and Linux on my old laptop and Windows in my case drains more power. Until you don't run desktop KDE for example those services will not run.
Someone should do battery test Linux vs Windows and SteamOS vs Windows on Steam Deck to dispel doubts about battery usage under SteamOS