Reading the help for "Set-ExecutionPolicy" would have provided you with the answer:
Beginning in PowerShell 6.0 for non-Windows computers, the default execution policy is Unrestricted and can't be changed. The Set-ExecutionPolicy cmdlet is available, but PowerShell displays a console message that it's not supported.
Windows Remote Management isn't supported (or available) on Linux, so "winrm" simply isn't present. You can us SSH instead. Or, you can try this: