You could run desktop Windows but if you get the Pro version then you can RDP into from your desktop/laptop. It makes administering it very easy, like working on it locally. .
Personally, I run Ubuntu Server (took a little learning) which I choose to run on Proxmox. You can just run on bare metal. I then just install the media-related packages I use : plex, Sonarr, radarr, SAbnzbd etc
a 4090