It is better than Steam Deck because ROG Ally is sold locally while you can't get Steam Deck locally. Only imported sets without any warranty from scalpers/resellers.
It is sort of better than Steam Deck in terms of performance but also more expensive.
Steamdeck uses Steam OS (A fork of Linux) and runs a translation layer (Steam Proton) to play some windows games on Linux. It's not perfect. Not all steam games are supported.
https://www.steamdeck.com/en/verified
ROG Ally runs Windows 11. So it will run most of Windows games from Steam / Epic / other stores. Some games won't run well since it is a mobile processor and a built-in GPU.
You can check out more info from youtube for those who has both Ally and Steam Deck.