If the game is reasonably well-coded, there’s not going to be any obvious difference between a game running on Windows, a game running native on Linux, and a game running using Proton.
I mean yeah, you could have some performance impact (usually light, occasionaly not so), maybe video not playing (some games use video formats for cutscenes which can’t be distributed on Linux installs), or maybe issues with windowing (Tropico 6 has an weird bug where the game mouse pointer has a bit of offset compared to the real one, until you change screen size).
But in most cases, if it works, it works the same.