The goal is not always to “take control” of the whole system. A cryptolocker that makes all your files unreadable will happily run in user space.
Also, you’re forgetting that windows also have UAC, and that people will happily type the admin password of their device when asked to, because they’ve been conditioned to not care by badly made stuff. And, while win+r is unlikely to work in most Linux DE I know about, triggering a visual prompt that ask for your password is also a thing.
There is not much difference between common Linux distro and windows as far as seizing user files with malware is concerned, aside from the fact that no website will care to try telling you “press alt+space” instead of “win+r”.