Does it need to be a whole septate machine? If I run Linux as my daily driver and a Windows install on a separate drive/partition for gaming only, then I'll only be exposed to any potential risks for this when I boot to Windows, right?
Of course, in practice, I don't think any average bad guy is going to spend the time to write Windows malware that installs Linux malware on other drives or partitions. Just like any security practice, it's a matter of tradeoffs. Is it worth the trouble to disconnect the Linux drive every time you want to play a game in Windows?
So, theoretically, any malware with root-equivalent privileges can do whatever it wants to anything on the system. Also, theoretically, malware can be remotely installed on your WAN-exposed router, infiltrate your network, and install malware using zero-days on every machine on your network. Is it worth the risk to air-gap your machines?
More practically, non-gaming stuff doesn't require a high-end machine, and average/SFF machines are plenty powerful, so it's probably reasonable to have a separate machine for gaming. Just get a KVM switch and put a Mac Mini-type machine next to it for your non-gaming machine. Then do all your gaming, using whatever awful incarnation of Windows is currently required, on the other machine, and never do any banking/email/etc. on the Windows machine, never type any passwords into it (except for gaming-related, of course). Treat the Windows installation as a throwaway, ready to be nuked and reinstalled at any time.