It's not frowned upon, it's just not made for it. It's made for desktop use. It's also more unreliable/unstable, just ran into some problems yesterday after updates. You DO NOT have to pay for a license however. The only features of windows you lack (afaik) on an unlicensed install is desktop customization and some kind of remote access that I have never used myself. Docker and VMs will work equally well on windows.
Don't be discouraged from using a dedicated NAS operating system though, there are a lot of videotutorials and documentation. Worst case scenario you wipe it and start over with windows.
It's absolutely possible. My recomendations: Do not boot an OS from a USB stick, USB sticks are made with recycled donkeycum and will quickly fail when reading/writing as much as an OS neeeds to. I'm sure there is a boot loader that can help you choose wether to boot into windows or your NAS OS everytime you reboot.