To be specific, SteamOS isn’t actually immutable. Its “immutability” is more artificial, since the updates come as complete images, which effectively wipes out any changes to the core system files, resulting in the same goal of an unchanged core OS. But you could, if you wanted to, set up a sudoer user and modify things like any other Arch install (until the next update wipes it all out, obviously).

Bazzite, on the other hand, is truly immutable. But there’s some drawbacks with Bazzite that will likely never change, like the fact that laying certain VPN clients isn’t possible, due to how they need to write to certain system directories. You may be able to circumvent this in specific cases by layering via rpm-ostree or utilizing a distrobox, but I can’t get mine to install no matter what I do. YMMV.