Games that work are generally exactly the same. If you sit down in front of a Pc already running the game you cant tell the difference.

Sometimes you need to fiddle a bit to get a game working. Sometimes you click play and you play. Some developers dont want you to play their games so they dont work (anti cheat).

Most things work very well. Some games are more fun to get working than playing the game in my experience.

https://www.protondb.com/

It differs per game. The game I play works flawlessly.

The only games I've had not work are games with invasive anti-cheats: many competitive fps games and hoyoverse games.

Not all competitive games fail tho, overwatch, for example, does work using bottles.

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.