Privacy and best practices are nearly universal across most user-obsessive distributions like Mint or Zorin and by extension most if not all distributions. Don’t let anyone tell you that one distribution is more “private” than another.
Mint is simply just better than Zorin in everything that Zorin tries to do, perhaps if this was a year ago things would be different, but Zorin is just not as well maintained as Mint is.
If you like the look of Zorin, that’s okay, most people do. But all desktop environments can be customized to your liking.
Since you’re also getting a desktop PC I highly recommend sticking with just ethernet and not messing with wifi firmware/wifi cards. You should also skip bluetooth as well.
If you want to play proprietary windows freeware/drmware you always have Bottles, Proton, Lutris, GOG etc. If you are forced to use a VM gpu passthrough for a game, then that game is not worth playing because the developers don’t care (why should you then?)
If you want an instant plethora of games you can always look into sophisticated emulators that allow you to insert shaders/upscale graphics rendering, always a good use of a powerful GPU to play retro games on a 8K resolution on vulkan.