How long have you been trying out Linux? I have been running RedHat 7, 8, 9 and then Fedora Core for over 2 years. (Core 1 followed by Core 2.) My experience has been that any type of multimedia support is lacking in Linux when compared to Windows. There are other problems too. As bad as I DON'T want to be a Microsoft fanboy, I must say that Linux has a long way to go. I have practically given up on it for now.
However, the experience that can be gained by experimenting with Linux is invaluable. I would suggest that you continue to experiment with Linux, but don't rely on it as your only OS. Have you considered a dual boot system? That would be the way to go, in my opinion.
As for UDF support, a SourceForge search returns a UDF project for Linux. But, it involves a kernel patch. Check it out for yourself at www.sourceforge.net
...run a search for UDF, it will be the first hit.
Good luck with Linux.