Try a LiveCD or installing Windows to an external drive (or if you are able to dualboot, although I don’t recommend dualbooting in general).
As for your original question, all PC/component manufacturers invest time in making their stuff work on Windows. Few do the same for Linux. Linux has a ton of people working to make hardware work, but it’s always going to be an uphill struggle if you don’t choose hardware explicitly for Linux support. Although I think your most recent issue is hardware (but I can’t know for sure).
https://dgross.ca/blog/linux-home-server-auto-sleep did the rounds lately.
But you’ll need another system to always be on to handle this.
In many cases, you can “fake” this in other means. For example, I had Remmina configured to run a script to send a WOL packet and wait before connecting via remote desktop to a computer.