I want to know If I play Gears 5 and Gears tactics on PC via Windows Store and then I got the games on Steam, do I keep my progress?
Not at all.
Steam and Windows Store are completely different systems. At most you would get some sort of sync between the store and xbox.
You could possibly dig into the files and paste them into the steam save files
not sure how to do it
Yes, you will. Both games use Microsoft Cloud, and you have to log with your Microsoft account to play them, the store is irrelevant.
My Gears 5 campaign save didn’t carry over to the Steam version. My achievement progress did though.