Linux
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A big one I've struggled with and had to keep researching is the file system. It seems insanely complex when you are used to windows file system and where shit is installed. Also the inability to install programs on drives other than your boot drive is a huge downside to me.
One example, I moved a lot of my games over to my linux drive, but some save files didn't move. To find where the save files from linux were, I had to dig and dig through a ton of folders to find it. In windows, it would have simply been in the game folder under saves.
Yeah the way the file system works is of the big differences from windows. That can def be a point of frustration.
There are linux approaches to having your /boot, /root, /usr on another partition or drive. It's been common to separate them for a good while and in fact many or most linux installers ask where you want each of them to live (might be in advanced settings).
It takes time to learn a new system. Keep going!