I'm conducting research on wallet reliability. And in line with these researches,i learned not to keep my money in the wallets of exchanges,
Good. That is probably the most important lesson you will ever learn in crypto. When you keep your money on an exchange, you dont actually own it. They are. The only way to actually be in control is by moving your funds to a private, self-custody wallet where you hold the keys.
is the wallet you recommend reliable?
What wallet? Do you have any specific one in mind?
Do you think i should install Windows or Linux?
Thats entirely up to you. As another member already mentioned, Linux is generally a more secure OS than Windows, but do you actually have the time and patience to learn how to use it? (I assume you don't have much experience with it since you are asking this question.). If you dont know how to keep your OS updated or how to manage permissions, you are just moving your risks to a different playground.
Have you considered getting a hardware wallet?