So either you just like to complain about unfixable things or you are unaware that once you discover your hardware is not supported you should stop wasting time on forums and go back to your working Windows environment
It's never "this doesn't work on Linux".
It's "This SMBus driver is only supported by version 10.1 of arcane library. It will work but first you have to swap out this shim for another one and configure dpkg to never upgrade it. However, this requires that your kernel needs to be compiled with flags foo, bar, and baz. Oh btw, your CPU doesn't support those instructions lol."
I'm being hyperbolic, but it's usually that after some banging your head against the wall you find that, yeah, it could work, but I'm not compiling custom shit to get my function key light working.
So, if you buy something that works, it will work, and if you buy something that doesn't work, it won't. Wow, what insight. It really does boggle the mind why people don't just buy things that work. Am I right!?!