Just another datapoint: I have had no problems at all using dual boot for Windows 10 and Ubuntu 16.04 LTS (GRUB bootloader).
I’m just not sure what I should focus on.
I am not clear on your uncertainty. For this course and machine learning in general, Linux definitely. Any other focus would depend on your other needs and interests. For example, I fire up Windows only for VC++ software development, Turbotax Business, and SSD firmware updates.