I’ve a dual boot with Linux + Windows, my games are isolated on Windows where I’m not logged in anything important. I can just encrypt my Linux partition for a possible vulnerability. But I really think that it’s hard to happen, at least it never happened to me, I’ve pirated before a few times.

Also it’s allowed to pirate on my country, it’s just not allowed to redistribute it, so I don’t need a VPN.

Just download from trusted sources and it’s fine. At this point I’d rather to trust the community providing pirated games than big companies harvesting my data.