I went with Debian and I use Docker for containers. I considered Proxmox, but I didn't end up trying it. PiHole is a good application for the Pi Zero (I have an early generation Pi dedicated to running PiHole), but you could also run it on the Beelink.
I strongly recommend you download Obsidian and keep hyperlinked notes on everything you do and links to every tutorial/resource you end up using.
Have a place to keep all the passwords your services will end up needing. A password manager is the best option. Make the password on your admin account on Debian (or whatever) easy to remember and enter, since you'll need to sudo a lot.
If the Beelink comes with a copy of Windows installed, you can recover the key from within Linux with the following command:
sudo strings /sys/firmware/acpi/tables/MSDM
Then you have a spare Windows key should you ever need one.