The only restrictions I've found is multiplayer games that use EAC software, which is Linux supported but they refuse to do it. However I basically only do single player games so I never have that issue. Have you tried Emustation on the ally yet, On the deck, it's one of the best things to use for setting up all your classic game needs. I know they've made a windows version now, which I've heard is good. Suprisingly one of the things that has stopped me from getting the Ally and other handhelds is the lack of the trackpad. I've gotten so used to that. it truly feels like a mouse.
As I said, I hope you truly enjoy it. With how popular the switch became after people said mobile gaming was only for phones now, it's great to see real devices. I love that with devices such as the ally or steam deck, whatever the MSI one is called, that we are entering an age where true gaming is mobile. You take a bluetooth keyboard and mouse, and you have a real computer attached to a motel TV or something.