Most games just work these days and it is only a handful that don’t,

To add my own experience, I play a lot of Japanese visual novels (it's a good 80% of what I play). Very few Japanese visual novels are released on Steam. But if they are on Steam, they're usually DRM-free or work in Proton anyway. However, most of these games are English-only. I play them in Japanese.

So I need to get my games from other places, like digital storefronts such as DLsite and DMM. However, I quickly found out that absolutely no games that DMM sells will work in Wine. This is because they are all encumbered with a form of DRM that isn't compatible with Wine. DMM is the largest digital storefront for VNs. DLsite sells some games with various kinds of DRM. PlayDRM does work in Wine, but the rest doesn't. They also sell DRM-free games. The selection isn't as large, but it's good. We recently got the DRM tagging feature in VNDB, so it should give you a good idea of what games are incompatible.

You can also buy VNs physically. Some games are DRM-encumbered but many are DRM-free. You generally don't know until you buy, though, and it can be an expensive mistake. Hopefully we can change that with the new VNDB DRM tagging system.

Even when they're not DRM-encumbered, though, you have a decent chance of facing issues with media playback. Older games using DirectShow you can probably get working with native DLLs using Winetricks. If it's a newer game that uses Media Foundation, you might not be able to get it to work at all. Worst case, the game crashes on the opening movie. I'm looking for a way to improve that section of the wiki since I know very little about Media Foundation for solving these issues.

There also tend to be a bunch of Windowing issues with older VNs like fullscreen being broken. Gamescope will solve those issues.

So, while you can play a lot of VNs in Wine, you need to be careful about it. Fortunately, only two of the VNs I bought are unplayable and they're both from DMM.