You don't need to build your own, but I would at least recommend buying a pre-built that gives you the option to upgrade later on. Some pre-builts (cough cough Alienware) go out of their way to make sure their computers can't be upgraded.

I would recommend taking a look at Starforge. I've been pretty impressed by their prices.

If you want Linux, you'll definitely want AMD. Nvidia works, but AMD works better.

Also, don't feel bad about not getting the best and most expensive model. Low-mid end is really the sweet spot for price-to-performance. And games typically play pretty well, just not on max settings. And you can always upgrade later on