Asklemmy

For me it's mostly been visual stuff.
There are native packages, Appimages, Flatpaks, Snaps. Native packages are GTK or Qt-based, so you could potentially have five different visual styles at the same time. Everything can be fixed, except for Appimages, but it requires some degree of tinkering which isn't always guaranteed to work. For instance, I was looking for a feed reader and tried Fluent Reader: it is an Appimage based on Fluent Design, so it looks completely out of place if you don't customize your desktop to make it look like Windows. Then I tried Akgregator: I picked the Flatpak version, and it was a complete mess even when using Flatseal (some backgrounds black, others white). Also, without proper configuration, the cursor theme may change according to the aforementioned app categories.
One last thing you may not like are icons. Most distributions come with some custom icon theme, which of course cannot reasonably apply to all applications out there: those that are not supported need to provide their own icon, which could look very bad depending on the desktop environment. For example, on Cinnamon they were very jagged, like their resolution was too high. This probably also depends on the application.
Another thing I usually notice is how slow the mouse wheel works in some apps, like Appimages for instance. And in general there's no way to change the amount of lines scrolled per wheel click at OS level, while apps rarely give you the option to customize it. Firefox does though, and for me this mean I had to run Bitwarden, Telegram, WhatsApp, a feed reader all inside Firefox. Thanks but no thanks.
I'd say no particular changes are necessary to use Linux full time, you should just turn a blind eye to this stuff.
P.S. Also, everything looks way too large w.r.t. Windows. I tried Thunderbird on both systems, and for some reason the delete icon is 50% bigger on Linux (using the same density option)