So, in the end, it sounds that is better to use Secureblue as it is

It ultimately depends on what you wish out of your system. For a general use system, I can’t fathom myself preferring Bazzite over secureblue; simply for how secureblue’s superior security comforts me. However, Bazzite would definitely be preferred on a HTPC/“game-console” device. Ultimately, it depends on what you wish out of your system. As we are talking on /c/privacy, secureblue is definitely the preferred system within that context.

FWIW, secureblue has also (very recently) been approved by Privacy Guides. They’ve yet to update their recommendations page, though. It will likely be mentioned alongside Kicksecure.

since it seems to support quite a lot of the things that Bazzite does. Am I following this right?

Close enough. Usability-wise, it’s pretty smooth sailing after first setup. There are some minor things like how Waydroid works on Bazzite, but doesn’t on secureblue (at least, it didn’t when I tried it the last time). But, aside from those, it’s definitely a very viable daily driver. Just ensure to do a thorough read of their FAQ and Articles.

To add onto what N.E.P.T.R said, it is technically possible to make a custom amalgamation of Bazzite with secureblue’s hardening. However, it would be neither here or there. Some discussion of it can be found here. IIRC, it was ultimately deemed counter-intuitive as a gaming-distro inherently conflicts with a hardened one.

Finally, we shouldn’t disregard the technical part of this; it’s IIRC one of the reasons why the Bluefin-variants of secureblue were eventually disbanded. It frequently had a lot of interesting bugs that were simply not present on other secureblue-images. This isn’t on Bluefin either, as the non-hardened edition worked as you’d expect.