It is not as a simple as "Linux does not support HDR".
The kernel's graphics API does expose functionality to use HDR. What is not there (yet) is Xorg and Wayland compositors using that functionality as well as programs written to target those being able to use whatever HDR Xorg/Wayland functionality would expose. For gaming Wine also lacks HDR support.
Valve is bypassing the above by using their own Wayland compositor (gamescope) which is designed to run X11 applications (mainly Wine/Proton) via XWayland and -IIRC- they hacked in a way to take over XWayland's output to force HDR so that Windows games running under Proton using Windows' HDR APIs will work under gamescope.
The reason they can do that is because they can modify and ship the entire stack, but it its otherwise a very gaming-oriented gamescope-specific hack (you can't use the same functionality to get a window with HDR content under an otherwise "SDR" desktop).
FWIW if you do have an HDR monitor (and perhaps an AMD GPU, not sure if this is a requirement) you should be able to use it on your own PC to run Windows games with HDR support - you'll just be limited to running them in fullscreen mode in a separate virtual terminal (i mean those you switch with the Ctrl+Alt+F<n> keys). I haven't tried it myself though because i'm using my own gamescope fork with some modifications i made and my code is a couple of years behind (long before the HDR stuff were added). Also while i technically have an HDR monitor, it isn't basically a somewhat brighter SDR monitor, not true HDR.
Joshua Ashton (Valve Developer) gave a talk called "Rainbow Frogs: HDR + Color Management in Gamescope/SteamOS" at XDC this year where he explained how they improved colour management on Linux when other people have so far failed.
Melissa Wen (Igalia) talked more about how they're gonna try and upstream the work, but there are lots of moving upstream parts and they all move very slowly in "The rainbow treasure map: advanced color management on Linux with AMD/Steam Deck"
I wish I could install Linux on my laptop, but without HDR what's the point!