As others have mentioned, many multiplayer games have anti-cheat, which is more likely not to work in Proton than it is. This area may continue to improve. See areweanticheatyet.com
Personally, I play a lot of Japanese visual novels, which usually aren’t released on Steam. Games encumbered with PlayDRM from DLsite will work in Wine, but all games from DMM are encumbered with DRM that doesn’t work in Wine. Wine is a compatibility layer for Windows games that makes them work on GNU/Linux, in case you weren’t aware.
On the other hand, many physical releases of visual novels aren’t encumbered with DRM, so they work fine in Wine. AlphaROM can be worked around by inputting your serial key into the SETTEC website. More information here: wiki.comfysnug.space/doku.php?id=visualnovel:prob…
Newer games might not be optimized for Linux in the first place
This is usually not true. There aren’t many native GNU/Linux games today; most of them are played using Proton, Steam’s compatibility layer for Windows games. There is no inherent penalty in translating Direct3D calls to Vulkan calls. Vulkan has the potential to be faster than Direct3D, actually. Native games may not be as optimized as the Windows counterpart, but as most of these are small indie games, performance is usually not an issue anyway.
And finally, let’s say I make the switch. What Linux distro should I use?
It’s a good idea to use a rolling release distribution. This is mostly to get the latest drivers; Steam and Lutris both ship a runtime with most of the dependencies you need to play games otherwise, though installing Wine on Ubuntu and Debian is harder, for example. Fedora and openSUSE are good choices. openSUSE in particular has robust graphical tools for package management and other activities which other distributions might force you to use the command line for.
I think a rolling release distribution is a good choice for a general desktop anyway. You’re running the latest software, which means the latest bug fixes and security fixes.