some games won’t run this way for one reason or another even though they’ll run if you own them (usually, I assume, because of Steam Deck specific tweaks or install stuff that are only used when you’re running them on the Deck via the normal method.)
A lot of this is just easier to do from legit steam setup, not impossible. I don’t usually pirate games (I want to support devs making things playable on Linux when I buy from Steam or making DRM-free stuff when I buy from Gog). But I do have a lot of stuff that I run outside of steam in plain old wine without proton or wine-wrapper tools like lutris. I haven’t come across many games that I have on Gog that you can’t run in wine itself but I will agree that it is sometimes a lot more work. I’m also on a desktop PC using Linux, so not completely the same as a steam deck but runtime-wise it should be pretty darn close.