Although, as a practical matter it provides some protection in the sense that most malware is probably not designed to do that and will, at worst, fuck up the Windows environment created by Wine / Proton. It's not something to rely on but it is a bit safer than running something directly on your home machine as a practical matter.

(Although I guess that depends what the malware does. If it searches every document on your system for credit card numbers and sends them to Albania, that would probably still work.)