They are legally separate entities, but why should that affect customers?
Because they are not doing it because of customers, they are more likely doing it for themselves. It’s easier to manage things on a corporate level when the data is also separated similarly as their companies are.
I have one SSD which I use as a data drive between both Linux and Windows. I used to run Steam games from it, but there were some small problems sometimes, so nowadays I just use it as a storage.
Generally it works just fine, but sometimes Windows does something weird with it especially when running updates, so that Linux can’t mount it. During those times I just have to boot to Windows desktop and then come back to Linux and it usually mounts again. If you totally get rid of Windows, I don’t think this will happen to you though.