Yes, and especially don’t fuck with the hardware or core boot/OS configuration. That’d the kind of stuff that can get you fired in most orgs I’ve been in.
Is Linux likely to mess up the stuff in Windows: probably not? It does require you to do likely-unauthorized things to the device to install, including potentially circumventing some controls required in the work device.
Whether it causes issue or not, circumventing those policies or controls is not going to land well if you get caught at it.