Huge learning curve? Define huge. When you first learned to use windows you went through a learning curve. When you switched to a newer version of windows you went through a learning curve. When you install new software. like movie editors. you went through a learning curve. Linus does have a learning curve but millions of average people use linux, and millions leave linux because they do not want to learn something different.
THere are several levels of learning depending on what you want to do with linux. If you just want a desktop operating system it can be learned easily. If you want to run a server that would take more learning. Programmer-- even more learning. The key in every case is to read the documentation. Linux is different from windows and users can become very frustrated if they try to do windows thing in linux.
Linux has over 99% of all the software functions of windows.:
http://www.linuxrsp.ru/win-lin-soft/table-eng.html
Dosbox does work with linux. Many new high end games do not work with linux but linux has many games and is building an inventory of steam games.
http://www.lgdb.org/
http://store.steampowered.com/browse/linux/
You would only be advised to use anti-virus in linux if you are dealing with windows software like running a mail server. Linux has good anti virus software if desired:
https://help.ubuntu.com/community/Antivirus
http://www.howtogeek.com/135392/htg-explains-why-you-dont-need-an-antivirus-on-linux-and-when-you-do/
Key loggers and malware can be a problem but can do very little damage if the users follow safe computing practices: do not routine run a root (admin) only install approved software, do not click on random links, etc. Very similar to good windows safe computing.
Linux itself cannot (and does not want to ) natively run windows software. There are emulators to run windows games in linux (poorly), and virtual machines to sandbox windows software. The VM are not extremely difficult to install and run. Simply read the docs and follow instructions.
Very few gaming companies write or port to linux but that is slooooowly changing, except for steam.
I would not say I have had any setbacks because of linux. For a hard core gamer linux would not be the ideal OS.I have had problems because I did not read or understand the docs, or did not make backups. I see many benefits in linux: free software for the most part, less problems with virus and malware, much more flexibility in configuring the overall computer system and individual software. Linux has many levels of distributions (distros), some for new users that are easy to install and run with less control, very stable dependable distros, and very advanced distros that require much more linux knowledge and give the user extreme control over the configuration for spped, power, eye candy, etc. Linux also has distro designed for special users: scientific, math, graphics, forensics, gaming, education, raspberry pi, privacy, etc.
http://distrowatch.com/search.php
Linux helps you do things windows will not