If I actually care about the game, I submit a ticket, asking for portability. This isn't really a thing anymore though, as usually the games that are incompatible with wine are games I don't want to play anyways (anticheat, cancerous drm). As for installing Windows, there is no game, and will be no game that is important enough to me to make me install corporate malware to play it, even in a VM, purely out of spite.