Proxmox on Windows Host

I use Windows as a daily driver as I game a decent bit. If I were to setup Proxmox and use a Linux VM on a Windows host, would that be more secure than just straight installing VMWare on Windows? Is there a better way to still use Windows while using something else to better preserve privacy? Thanks!

Edit: To add to this, would RDP be a viable option to reduce spying? Or ultimately is Windows a lost cause?

supported platforms: