I have it at my home office, so the PC is always next to it. I am using good open-back headphones (DT 990 PRO) connected to a USB audio interface that supports

I have it at my home office, so the PC is always next to it. I am using good open-back headphones (DT 990 PRO) connected to a USB audio interface that supports low latency using ASIO driver on Windows and JACK on Linux (in my case UMC204HD). The rest is handled by Pianoteq. One thing to note - the Casio Privia that I have has nice weighted piano keys and they feel great but the sustain pedal that came out of the box was a binary one. You can purchase better pedals separately. 10 years ago I tried similar approach with Raspberry Pi and some small keyboard that I borrowed. It was a bit tricky to find a good synth that was optimized for such a weak device, but I managed to find one that sounded OK. It had no display and I had to do some tweaks to boot it up in a few seconds time. If I was more serious and not just tinkering for fun I would probably have used a laptop instead. Steam Deck will have plenty of CPU power but it will probably still require a separate audio interface to get that low latency.