I'd say if you plan on using it any public places, or if you don't have full control over all the computers/technology in your home network, it's a good idea to run one. It's a nice last resort should someone on the same lan have a piece of malicious software.
Absolutely not. Sure, neither will give you the Dallas Cowboys, but Elon wouldn't even give you the Denver Broncos.
For SF, I recommend Primer. Its definitely a challenging movie as there's no clear exposition, but I found myself wanting to watch it several times to piece it altogether.
I’m a fan of the “just dive in” approach. You may encounter issues, but researching the solutions is where you really begin to learn. I personally like Fedora, but any of the other distros mentioned are also great choices. The great thing, if you don’t like it there’s tons off other options to try.
It can definitely feel overwhelming, so start simple. Install a basic well known distro; I’m partial to Fedora, but Ubuntu is also a great choice. You’ll learn a ton just by using it day in and out for typical tasks. If you need help reach out to the community. If anyone comes off as rude I recommend just ignoring and blocking them. Using it will eventually come to feel second nature like MacOS or Windows. Enjoy!
I’m also going to add that any online service you sign up for, always check through their privacy settings and make sure the options to not gather data are enabled. Another one is to check through settings for your ISP and cellular plans. Some collect various data to “enhance” services. Lastly I’ll mention that on mobile devices switch to a privacy oriented browser like the recommendations below, and use Progressive Web Apps instead of native apps. These will include the browser’s privacy protections by default.