Bazzite has ntfs3/ntfs-3g available for mounting (this was merged with the main Linux kernel in 5.15 back in 2021), but it’s not supported to format disks as NTFS in the gui, if I recall.
You’re correct with the fact that Steam/Proton uses the colon character in file paths, which are an illegal character on ntfs, so if you wanted to share a Steam library specifically you need to use the symlink workaround. But this is specific to Steam/Proton and not a generality for e.g., Plex/JellyFin/OMV or general storage.