I've been using Linux for nearly thirty years, and I've only had one serious security issue in that time (a rootkit injected into a server I adopted). Other than that, it's been smooth sailing.
With many Linux distributions, the firewall isn't even enabled by default. On top of that, there are different firewalls for different base distributions.
The biggest difference between the Windows and Linux firewalls is that the Linux options give you much more control. For example, with Firewall Configuration, you control zones, services, IPSets, services, ports, protocols, source ports, interfaces, and so much more.
Windows Defender is enabled by default, and disabling it is a risk because Windows is the most targeted operating system on the planet.
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