Some games are unavailable to be installed/purchased on GamePass Ultimate Windows 10, yet...

Only gamepass ultimate works with steam deck

Unless you install Windows 10

Steam.os cannot install games because from gamepass games are windows based

Only cloud gaming is supported unless you install Windows 10

I'm aware that there are some games not available on gamepass for Windows 10, that are available for consoles. The games I've mentioned aren't part of that list, though.

For example this page is for Remnant: From the Ashes -

https://www.microsoft.com/en-gb/p/remnant-from-the-ashes/9pbhxgwzts2n?activetab=pivot:overviewtab

On it it clearly states "You can play Remnant: From the Ashes with Xbox Game Pass for PC or buy it to own." and I can select the 3 dots, "Install on my devices", select my PC and it installs the game on my PC without issues. But I'm not able to play it, because it's "not available" for me and I get the same error code 0x803F8001.

pc gamepass has different games to the console gamepass, some of the games on the console gamepass won't be available to the windows gamepass due to resctrictions or only being available on other stores like epic and steam.

I found the answer to my question, the answer was actually in my question already - region lock.

If you go to your Region settings (if you type "region" in the search bar it'll show up) and look at the country given under "Country or region", then this is what determines what content you get in Microsoft Store. The country I have set there does not have access to some of the games.

For Xbox Console, during first time setup, I remember it asked to provide a region as well, and I chose a big market country knowing that there shouldn't be any restrictions set for games. This is why I can install and play all the games on the console.

Only gamepass ultimate works with steam deck

Unless you install Windows 10

Steam.os cannot install games because from gamepass games are windows based

Only cloud gaming is supported unless you install Windows 10

actually, the steam deck uses proton to run windows programs. you CAN install windows games on it without windows 10 and they run quite well. In fact, that's the selling point: many of the games that steamdeck runs are the windows versions. There are guides all over the internet for getting everything from EA play, to Gamepass, to GOG, etc running on the steamdeck to play the windows native games on the steamdeck.