I run a local account and toggled off all the telemetry stuff during installation nine years ago. Never saw one of those. Didn’t even get toggled on with updates. Only problem I had was Copilot getting added a few weeks ago. By that time, Win10 had become the compatibility fallback for Linux, though.
So, create a local account, go into Settings, and toggle off everything that could maybe be telemetry related.
Civ6 also has issues with the Linux version due to Aspyr slacking. A bunch of the newer content hasn’t been ported yet. Fortunately, you can force Steam to install the Windows version and run it with Proton.