Generally, games run worse. That's separate from the performance your system has while running games though, which is decidedly higher (as demonstrated) running Linux. Even still, the translation layers being used for most games are ludicrously quick, oftentimes to the extent that it's really a tossup. Look at how Overwatch runs these days[0], where it's genuinely trading blows with the Windows version. While Windows still hits a 10% higher max framerate, but Linux drops 25% less frames on average. It's remarkably close, and this is the case for many Linux games these days. Earlier today I bought Ziggurat 2, and out of curiosity I compared the framerate in Wine with the native build. The results surprised me, as Wine had noticeably less input lag and only lost 3-5 fps compared to the Linux native version.

If you haven't tried Linux gaming in the past year or so, you should probably give it a second look. Even my horrendous Skylake laptop manages to run the scope of my indie library through Wine, along with whatever other lightweight Linux native titles I want to take on the go. For my money, I'd say the experiences are mostly comparable at this point. Ditching Windows only cost me a handful of DRM-ridden titles, so I see it as a wash.

[0] https://www.youtube.com/watch?v=voXc1nCD4IA