I always try the native version first if a game has one (old "native" ports using Wine don't count) and only use Proton if it has serious problems. I want to see more Linux native games, and so I go out of my way to play them in their native version. There are some games that I own where the native version is clearly inferior to Proton, but for most it's equal, or only slightly worse at best (I mean "Pillars of Eternity not having cloak physics in native version" level worse).