If you’ve tried running Windows games on Linux before, then you probably expect to have to jump through a lot of hoops. I was surprised after assuming I had to do it the hard way that it really just works if you pretend you’re on Windows. Install Wine, download the Windows LOTRO installer and run it with Wine.
Switching from fullscreen has never been great on Windows and it’s worse on Linux. I recommend using the Fullscreen (windowed) mode.
The biggest problem I ran into was the ALT key not working. Install CompizConfig Settings Manager in the Ubuntu Software app. Disable the shortcuts for Key to show the menu bar while pressed, Key to show the HUD when tapped, and Key to open the first panel menu. I’m not sure which one actually fixed it, but try them and see.