These days, most games run fine out of the box with proton. As the parent comment stated, it's mostly games that rely on invasive anti-cheats that don't work. For example, PUBG, Due Process, Valorant, etc... aka competitive multiplayer games.

If one really wants to they can dual-boot with windows, but I've found the better option is to just play games that do run well on linux, like tf2, etc.