I finally have some first hand experience with some of these handhelds. I own a ROG Ally and and Steam Deck. And I've played around with a Legion Go.
The Legion Go is the most powerful and you notice it while using it.
The ROG Ally is less powerful than the Go but more powerful than the Steam Deck.
The Steam Deck is the least powerful but Steam OS is nice!
I would say the Steam Deck is most comfortable. Then the Legion Go.
The Go has the mouse gimmick with it's detachable controllers. But I don't see that as an advantage because if I'm going to play like that I might as well use a dock and use a real mouse and keyboard.
The way windows is handled by the Go and Ally I prefer the Ally's extra tweaks more. But I prefer Linux to windows.
So if you buy any of these I would suggest giving Bazzite a try. It is almost exactly like SteamOS but better IMHO.
In conclusion I think all of the ones I have had the privilege to try are worth it! The only question is how much you would want to spend?