Protondb.com is very helpful when a game doesnt run. I forget where I found info but like a good 10% of steam games dont run using Proton, no matter what you try. And a good 70+% of games work out of the box or with easy, common tweaks. We have some other tools available like Winetricks, Lutris, and if all else fails VM with GPU Passthru.
windows can have a similar troubleshooting workflow, dependent on Compatibility Mode for older games, and using GOG.com repacks to make things easier.