You can trivially play Windows games on Linux thanks to Steam Play and proton. I've done so since 2018. Most games that don't work are broken because of DRM. Some more are broken because of some minor thing like missing video codec but very few games actually use proprietary codecs like WMV. The rest just work.
I didn't have a good experience with it in 2020 after much fiddling I couldn't get proton to work for anything despite having reasonable success with wine and crossover.
Windows has a larger selection but its also incredibly trivial to pirate.
I've never bought more games than when I had no windows install at all.