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You could use ext4 instead, which is what Linux generally uses. However, do not that Windows has no support for ext4 at all, so if you did that then you wouldn't be able to use the drive in Windows. An alternative is using a Fat filesystem, which is supported by both operating systems but is more limited and more prone to corruption I believe.
OP, if you open up the permissions tab for your external harddrive, what does it say? You can get to it by right clicking on a folder or file on the drive (or on the steam deck I guess it would be L2 a foler or file in desktop mode), click "properties" and then "permissions".
It seems not everybody is as technologically incompetent as you...
Why don't you just STFU?
Depending on the size of the drive, the file sizes, and file names you can re-format it with a filesystem that both Windows and Linux can access as read/write such as FAT32 or exFAT. In general exFAT should work for most cases but still has the limitation of filenames being limited to 255 characters.
EDIT: Note, reformatting the filesystem will destroy the data on the current filesystem so make sure you've backed up anything you want from that drive before reformatting it.
Both WarnerCK and you are pretty much correct. NTFS does store per-file permissions, however, they are not POSIX file system object permission model compliant and use their own permissions model. The POSIX file system object permissions model stores permissions in a standard bit structure on the file. NTFS uses the Windows Access Control Entries (Windows ACE) to store file reference and permissions at the filesystem level rather than the file level.
Other than it not being POSIX compliant, not really. You'd need something akin to Wine/Proton to add the proprietary filesystem structure and permissions structure and a translation to POSIX compliant file handling. There are some user space tools like NTFS-3G which allow some basic file manipulation on NTFS, however, that is going to be relatively cumbersome to implement on SteamOS considering you'd need to install the supporting libraries which would require unsealing the immutable filesystem, etc. which will get broken on future SteamOS updates.
SteamOS 3.4 might end up with some improved native support for NTFS as that should move to a Linux 5.15 based kernel which should have native NTFS kernel support baked in a la Paragon Software's NTFS3 implementation.