I think the computer virus security risks around big platforms like Steam and GOG are very limited, they're big and fairly robust companies with systems for tackling that side of things. Obviously there are the usual risks of yet another big company having your details etc, but that's no more so than is usual for e-commerce platforms I think. Both of them will run on Windows and on at least some Linux platforms, AIUI, though I use windows so I can't speak as to how good the Linux implementations are.