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So I think a lot of things that are more important to security is perfectly doable in linux. I think there might be distros that don't have a firewall on by default but I don't think its common. If you go with most any recommended distros people throw out it will. Linux and other unixes had this available and default way before windows did. Honestly the only thing linux kinda lacks is antivirus although thats not completely so. I will say that outside of windows integrated antivirus I stopped using them in windows. Running a secure browser and being careful about what you download and run in windows is a much bigger thing for security. Again linux had sudo type things (the admin privleges window pops up with) than windows did. Which is a much bigger security thing. To top it all off you can get most software for linux through repos which are curated and safer way to get software. It can be tempting to download a piece of software not available but if you can add a credible repo its not a bad idea to do it that way. I mean linux and other unixes are just engineered in a better more secure manner. Coming from windows and worrying about linux security is like coming from a really cirme ridden neighborhood and moving a nice low crime area but your afraid its going to have more crime later.