I’m not sure if it’s better to play native linux games than to use wine
some games I tried, the native linux version had broken lighting, while the wine version worked fine
also with wine all your saves are in the game folder, and it doesn’t make a mess by saving files wherever the developer thought would do the job
also it’s easier to find the latest version for windows than it is for linux
probably you’re right, I haven’t yet done the research to understand how to use them properly or know the difference (iirc proton is wine modified by valve but that’s about as much as I know), I haven’t had time to look closely into it