There are absolutely reasons not to switch to Desktop Linux, but support for weird custom configs is a reason to use Linux. Xmonad and other tiling window managers have been ported to back to windows and os x, they're so important to users. Someone's already mentioned how to use xmodmap to get global custom key bindings.

Now, whether it's worth it to you, who has already learned autohotkey's syntax, to move to Linux, I can't say. Linux is a game of differently confusing config files from Windows and sometimes it's about the devil you know vs the one you don't.