This is why I opted to go with Linux... felt it was a tidbit safer; perceived safer perhaps? Even though I have a PC and initially had Win8 installed on my server, I've learned what executables can do... so you're def right, there's a level of trust needed. Years ago and just because I learned it was possible, I stripped an exe file down to it's smallest pieces (I think) without installing it. It can be done, but I agree, not easy at all.
Linux definitely has more security features built in than Windows, but a badly configured or unpatched Linux system isn't safe. Just because you use Linux doesn't mean you are safe.
Additionally I think that it would be easier for malware to hide on a Linux system than on a Windows one. We've seen malware thats hidden at a kernel level, something that is not so easy to do in Windows as you'd probably need the source code for the kernel to do that.
On top of that most of the common Linux X servers do not do any kind of GUI isolation at all. Microsoft made an attempt at least, though I don't know how good it really is.
Windows gets a lot of flack, but really it's security isn't all that bad. A lot of PC manufcaturers preinstall tons of bloatware to make extra money and additionally lots of people run pirated copies of Windows which don't receive any security updates. When those people then get viruses/hacked they try to blame Microsoft when it is themselves or their PC manufacturer who is at fault.
A fully patched and properly configured Windows installation running software built from known good sources is safe.