I have a ZVOL (which is a virtual block device) on my NAS, which the Windows machine gets access to via NVMe-oF (which is something newer and better than iSCSI, but latter works just as well). To Windows, it's for all intents and purposes just another SSD, that's formatted with NTFS.
When I'm done with the first playthrough of a game, and think I might spend some more time in it eventually, I tell Steam to move it from the Steam library on the local drive to the one on the ZVOL (you can define multiple Steam libraries in Steam and it has data mover functionality, if you weren't aware). Sometimes, when I know the games are not that sensitive to disk performance, I just install them right away to the ZVOL. Similar applies to other game stores/launchers.
Some disk-heavy games, say for instance Cyberpunk 2077 (which just keeps streaming like an idiot, keeping its RAM footprint at ~4GB and not using the rest of it), take a little longer to launch on the first, maybe second time, until the ARC and L2ARC are hot.
I went with a huge two-way mirror, instead of RAID-Z, for the hard disk backend. For running games, you want multiple independent spindles to reduce IO latency, when it needs to hit the disks. I was considering going three-way, but couldn't justify it so far on the monetary side, and the L2ARC does decently so far.
(Some other minor details, I went with 16KB ZVOL block size and NTFS clusters for performance reasons. To keep L2ARC memory usage on block headers down and allow ZStd to do its thing better. Some games don't seem to compress much of their assets.)