Balokzx
yes its possible to use tar.xz files to install programs in Distrobox but I would just use a package manager inside Distrobox.
you can "install" different Linux distributions for example debian, Ubuntu, Fedora, Arch, inside a distrobox container and then use the package manager of that distribution to install the software you need.
On my SteamDeck currently I am only using Steam as I also have a Desktop gaming PC where I use Heroic, Lutris and Bottles. It is possible and relatively easy to also use Heroic, Lutris and Bottles on the Deck. I would recommend you check out the GamingonLinux Discord there are a lot of people that game on Linux and also know a lot more about tinkering with the Steam Deck :-) they are a friendly group that will help you out :-)
About privacy and Security on the Deck: Its a Linux Device for gaming. Dont put anything private or important on it. When the Deck first shipped there wasnt even an option to password protect the deck.