For me, the game I cannot play is Rust. Yes you can run it just fine, and yes there are maybe a couple of servers you can play on, and they have anticheat disabled. There are popular anticheat systems which work on Linux, EAC being one of them, and I've got a lot of games with online components and anticheat which do work very well. I was surprised by the percentage of my various game libraries* which could be easily installed via Lutris and work just fine. Most of them have very good performance as well.
A handful of Steam games don't run and more don't run well without Proton-GE, but a lot of games work without any addons at all. And speaking of addons, they are mostly easy to manage using steamtinkerlaunch, which supports both Vortex and MO2. There are definitely game mods which don't work well with Wine or Proton, mostly ones which have very specific runtime requirements. Some of those don't run well even with the runtimes installed with wine/protontricks.
* For a while there, Humble Bundles were awesome, and a lot of those games were on services which I never would have otherwise patronized.