The thing that is stopping me is how am I going to transfer all my add ons from my Microsoft account to steam? Will I have to start from scratch on tsw?
You can't transfer add ons from one store to another, however as you have the game on Xbox you can download the PC version through the MS store on PC
Would that mean if I downloaded mods for transport fever 2 on steam (another game I play but can't really how I want to on console) would they appear?
You'll have to experiment as some mods work (I know my BCC timetable mod works) and some don't. There isn't a lot of documentation on the Xbox side as opposed to Steam.