only windows applications that do not run in full trust mode, like store apps won't do that. and even without store apps you can use something like msix or app-v to package your apps in a "small" sandbox, but you can breakout from the sandbox via runFullTrust
With the Windows model, you don't check your guests at the door. You can't search all guests so you assume all guests are hostile and with it you're always taxed with playing security theater which can not only be expensive in terms of hardware resources but mental resources as well as losing more control over your own environment. Because you let unaudited people in your home, before long you have to lock down most parts of it, even from yourself. In gaining control you've lost control because you don't control for openness in the first place. For the few binaries I run on Linux I sandbox them in a VM anyway. But different models, different hosts, each has their weaknesses.
They might sincerely thing so, not knowing they were targeted and now all the binaries they ship are also containing a payload added by the attacker.
With open source software and especially the Linux distro model where one set of people writes the software and another buikds it from source and integrates it is much harder if not impossible to pull off such an attack affecting all users of a piece of software.
This has been on the front page all day: https://madaidans-insecurities.github.io/guides/linux-harden...
It is safe to assume it is more PRIVATE than a Microsoft OS, but not more secure.
Please don't react emotionally to this... It was a bit jarring of a shift in thought to me as well, at first.