I currently use a Legion Go with Bazzite installed, paired with a cheap AliExpress dock and an eGPU dock (also from AliExpress) housing a Radeon 7600 XT. Overall, it's been a great experience. With some minor tweaking, I can play pretty much everything you're describing – PC games via Proton, retro games, and PlayStation titles through emulators.
Given that my entire setup cost around $1200 (Legion Go, dock, eGPU enclosure, and Radeon 7600 XT), I would absolutely go for a pre-built system like yours if I didn't already have my current setup. It truly offers the appeal of a Nintendo Switch but with significantly more horsepower and flexibility (and none of the console vendor lock-in).
Based on my experience and what I've spent, I'd fall squarely into category C. $1000 - $2500 for such a setup. The convenience of having everything pre-configured and optimized for gaming right out of the box is a huge selling point.
It sounds like you've put a tremendous amount of effort into this, and the idea of a "best of many worlds" gaming OS with minimal setup is highly appealing to gamers. Good luck with your project!