I have a ROG Ally and a Steam Deck. The Steam Deck experience is miles ahead. Windows is such a limitation on these handheld devices (and dare I say PC gaming in general). SteamOS is the real MVP behind the Steam Deck, it makes everything feel seamless.
The Ally feels like a crappy ASUS launcher stapled on top of an unoptimized Windows desktop, since that’s exactly what it is.
Also, the ASUS ROG Ally controls are nowhere near as nice as the Deck’s. The Deck sticks feel better. The touchpads allow for mouse control.