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EXEs are designed for Windows and generally don't work on Linux. There is Wine to run generic windows apps but compatibility is all over the place (otherwise people would already adopt Linux for general home computing en masse) and Proton for gaming with hit and miss result. If your games are supported, you might be able to just keep using Linux, otherwise, you can dual boot or just switch to Windows entirely if you don't have any preference. Try installing Steam (even if you didn't purchase any game, you can try some of the free games) to see how it works for you.
If you need the USB speed, check https://mxlinux.org/wiki/other/working-with-android/ and https://libimobiledevice.org/