Yes, steam will create a prefix for any game or exe that you add when you first launch it. That's why the first launch always takes a minute or two.

The same exe can be used by windows and proton, so having a dual-boot setup with all games on the windows partition is feasible.

But there's one very important thing about that: Turn off fast boot in windows before mounting the drive in linux, otherwise you will have to wait hours when booting windows the next time (which can't be cancelled because microsoft).