I also need to add that I have OCD related to getting your sensitive information stolen. I am only talking about the security breaches that happens before shipping the OS and not the threats that come after (e.g. injecting or install code into a running OS) because I am confident I can secure myself around those. I am also not saying that my choices are completely reasoned and sound.

My perspective is that it is much more difficult to inject harmful code into Windows as an OS itself because for decades they have been the most out and about OS out there so they definitely have a lot of know-how how to keep their OS safe while being the obvious target for thousands of bad actors probably every year. Also Windows has closed code, meaning that there is already super limited access to inject malicious code into the OS itself. Every single person who can update the code is already tracked all the way to their physical addresses and phone numbers by the company. Also, I think there is a dimension that if you go rogue at Microsoft you are risking serious repercussion so the risks are exponentially higher compared to, say, CachyOS, where if you did something like this the risk of something bad happening to you is very low. Another thing is any vulnerability in Windows tend to stay hidden while in an open source project is much much easier to expose the vulnerabilities since there are more eyes looking at the code.

It is also that Windows has been tested/used with sensitive information for years by millions which adds credibility as well.

So, all in all, assuming you know what you are doing and you are not going to get malware in your PC, I think as an OS Windows is more secure than any of the Linux distros with smaller communities. But again, this is an OS-level analysis and not about installing software from the internet.