Yes. As it happens, I recently compiled and installed 3.11 from source… twice, because I forgot (or naively assumed I wouldn’t need them, or already had them) the dependencies the first time. It wasn’t especially pleasant (and the main Python documentation doesn’t tell you about secrets like configure --enable-optimizations or make -s -j4 that you get from reading the developer’s guide instead). The alternative I guess is to figure out the deadsnakes PPA, which doesn’t seem like a lot of fun (it’s hard to verify that it’s official/safe, doesn’t seem terribly well documented, and just generally the idea of using a third-party PPA is something a lot of Linux users wouldn’t otherwise have to bother with).
Aside from that, Linux distros have gotten quite a bit easier to use in recent years, and I keep hearing more and more complaints about Windows (personally, I made the switch when Windows 10 decided to warn me, completely unprompted, that my computer didn’t meet minimum specs to run 11…). As a consequence, in the long run it would be prudent not to expect Linux users to be any more technically proficient than Windows users on average 
Absolutely. I don’t want to trust third parties any more than absolutely necessary, when it comes to installing something as powerful as Python (i.e., an executable explicitly intended to “run” its data, in a Turing-complete sense, rather than simply viewing it). The Windows installer is also a huge boon for Windows users: it meets standard Windows UI expectations and includes important configuration options, especially as regards py (itself crucial because Windows has no concept of shebangs).
More clarity on the downloads page and in the documentation. It should be much easier to select an operating system, select a minor version, and get directly to the available downloads. See also It seems unreasonably hard to find out how to install an older Windows Python .
What if pipx could just provision a .dll/.so?