I have a couple games that don’t work, but yeah, these days it’s very rare for something not to work. I don’t bother checking ProtonDB any more to see if there are any known issues before buying something.
The only one I care about much that doesn’t work is https://command.matrixgames.com; there’s not really much by way of competition out there for it.
One other benefit – I don’t know if this is still an issue on Windows – but there are historically a couple of fullscreen games that dealt very poorly on Windows with being alt-tabbed out of, because the game needs to restore context when things come back, and some games didn’t do well at that. Steam doesn’t explicitly expose this as a feature in the UI, but you can just fire up winecfg on a Proton prefix and then ask that a virtual desktop be emulated for that prefix, and the application will be unaware of it if you go switch to another workspace or something. As far as it knows, it’s still in the front and running fullscreen.