Have a file you want to embed with any of the illegal Obsidian filename characters which are legal on Linux (\, :, |, *, ", <, >, ?) (eg. Screenshot 1512.png) and try to drag-and-drop it onto an Obsidian note.
I believe this has nothing to do with OS.
You were able to “move” the file because first of all you were able to create the file (in Linux). This because Linux permits filename characters that Obsidian doesn’t allow.
Every OS where this is possible will generate this “error”.
Some discussion is indeed needed.
As you want to assure cross platform compatibility you will need to go for the characters that are “do-able” in all the OS-es you want to support.