Agreed on all counts. Proton (and WINE in general, really) is an impressive piece of work that has done wonders to make software available on Linux Desktop, but it is not a perfect solution. Personally, I'm sick enough of Microsoft's shit that I'm now willing to put up with Linux Desktop's shit instead and if that means I miss a few games, I'll live with it. I don't play competitive online games anyway.
This approach is a lot more hassle to setup than Proton, but it does yield some really great performance and ~100% game compatibility. I've been planning to go this way for my next desktop build (Windows gaming VM with native GPU pass-through).