A lot of machines ship with secure boot locked to Microsoft's key. Usually there's a way to turn it off, otherwise you need the shim loader Microsoft signed in 2015 whose signature has just expired and who knows if Microsoft will sign it again.

I can't believe all the replies who see no problem with a company completely controlling their device like it makes no difference.

This is more competing in the game console market than the PC market though.

PS5, Xbox? They're almost PCs and are in the same space as Steam Machine.