1) That is something everyone should do. Specially in this day and age where Linux gaming is quiet easy and much easier with things like Proton. The official version of Wine built into the Steam client. Which runs about 90% of games. With a possible launch option on some or executable tweak, but usually not that hard.
2) Not at all. On GNU/Linux you don't even have to wait to play your game after installing it in Steam. No first time setup or any of that crap. Native games install in an instant and off you go.
3) Have you even looked at what is native on Linux? We have Deus Ex games, Dirt series games, Lara Croft games, Shadow of Mordor, and a lot of titles for the OS. Mind you some are binary wrapped, but binary wrapped is not WINE in the slightest, but honestly with how WINE + DXVK is I wouldn't care.
4)
https://store.steampowered.com/app/537450/ReCore_Definitive_Edition/ <-- Microsoft Studios title
<--- Steam Proton running the game like it was nothing. With D3D11 support. (Skip to about 1:18 to see gameplay footage).
----
Not try to come off as brass or rude. It just seems like you have been out of touch with what is happening in Linux. Nor am I trying to say everything is perfect. Because AMD has a long ways to go even. Yet if you're Nvidia carding it up you're usually pretty solid. Specially when using the latest drivers. (It's just the Penguin has had a fire light under it and things are changing rapidly.
)