Protagonist has got to be Bayonetta (though it’s based only on the first game). Her character growth in the first game was so good, even if the plot was a little convoluted. Never finished the second one since I didn’t like playing on the Switch and never played the third one. Hope her character is still good though.
Honorable mentions are Kassandra from Assassin’s Creed Odyssey, Elizabeth from Bioshock Infinite, and Stelle from Honkai Star Rail (though this one is mostly for the absolutely ridiculous dialogue options we get to choose).
Favorite female antagonist is hands down GLaDOS. Such a fun, sarcastic, and likeable villain.
Here’s a full list of crossplay Xbox and PC games. I figure if it’s on the pc, there’s a good chance it could be played on the steam deck as well.
Notable mentions in there that I’ve played and enjoyed are Destiny 2, Overwatch 2, Remnant 2, Left4Dead 2, (I’m seeing a pattern here), and Deep Rock Galactic.
Thimbleweed Park seems to fit your criteria. One of the reviews even compares it to Twin Peaks. It’s a point and click murder mystery adventure game with where you have to switch between 5 characters.
It’s been years since I’ve played but I think the setting was in a fake Northwest Pacific town.
Fun fact, the names in the phone book and the titles/stories of the books in the library came from Kickstarter backers. Some of the books were pretty funny.