- Between Windows OS and Linux OS which one has the best firewall setup and security?
I'd say Linux.
- Can a proper Firewall configuration add more security to crypto software wallets on PC?
Yes.
- Is there any other ways I can add more protection to a Linux operating system?
Nothing specific just don't be stupid and grant admin privileges to whatever programs; and don't just randomly straight up copy-paste and run commands you see online unless you know for sure they're non-malicious.
Also, probably just grab a hardware wallet?