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Conclusion
This has been the result of at least a week long of sleepless nights of research, experimentation, lots of VM and host reinstalls and gathering all the info and writing this documentation all nicely for you to follow and have a nice environment to develop, work on, or just experiment with other distros or operating systems.
I'm sure there are things that can be made better, some processes could be automated, ultimately into a single command to run (just like wsl --install) but right now, it's good enough. In case you're interested, I've given here all the info you require to automate all this process, if you feel like it, or maybe just wait until I end up automating it... After all, I love to automate all the things!
For now, I hope this guide has been useful for you and, hopefully, if this guide ever reaches someone working at MS in the WSL project, to take this as friendly feedback about pain points that users of your product go through and the solutions we've found to them, that, hopefully, may also be useful for you to help make it all better.
If this has made your life better and you'd like to share me beer, I'd greatly appreciate it. You can do so through here:
So long, and thanks for all the fish!