So if I remove Windows and install Ubuntu on a HP Notebook, the keylogger will be removed?
Not exactly.
If you do that then you will be targeted as a person trying to avoid surveillance. What are you trying to cover up? What is it that you do not want authorities to see? What are you hiding?
You will jump from "level one / general scrutiny" to "level two / enhanced scrutiny" by the security services in your country.
https://www.modzero.ch/advisories/MZ-17-01-Conexant-Keylogger.txt I know I will become a priority but will it remove that actual keylogger?
I am not an expert in this, but Windows uses one kind of file system and Linux another, so nothing that existed on your Windows install would carry over to a Linux install.
It may not be what you want, but here is a more practical answer. Government types, people who have lived only for their bureaucracy, are taking enormous steps to control crypto. Look at the vast sums being spent to prop up Ripple, Ether, Monero etc, before coins are even mainstream.
No matter what you do and which operating system you use, there are government agencies that want access to your coins. They would not let you have cash that they could not control, and those types of people are not happy that they do not control your coins.
Linux is probably as hacked as Windows. Governments have not just been sitting by saying "oh, we cannot hack Linux, we will stick with hhacking Windows".
The smarter solution to bitcoin security is physical limitations on access to keys, such as offline computers, rather than os changes.
You always have to worry about hackers, and it is a shame that the most dangerous and harmful hackers are cowardly bureaucrats in our own governments, but there is little we can do.
Be aware of threats, usb driver hacks, Windows hacks, antivirus cooperation with govts etc, do your best, and when the day is over go to sleep.