broadly, gain flexibility, lose familiarity. just try it and see.
one thing i’ll spell out, you’ve likely never had to consider the logic by which windows loads dll versions. essentially, if you put a modified dll file in the same folder as an executable, when the executable calls for it that modified dll will be loaded instead of the system’s builtin version. game and software cracks sometimes rely on this principle. but on linux via wine/proton, that isn’t the case. so you’ll need to configure wine/proton to do a “dll override” in some cases (i.e when your game/software crack utilizes a modified dll). the process is pretty straight-forward, the main thing is knowing you need to do it.
Did you know there is potential for VM escape exploits? As long as a VM has direct access to your GPU, you can’t safeguard yourself completely. No matter what you do, you need to take self responsibility to ensure the software you run comes from a reputable source.
Granted, VM escape exploits targeting gamers is a very low possibility, but so is windows malware running in a linux userspace actually causing any harm.
Running pirated windows games via proton is quite secure. Spend the mental resources trying to be secure by checking the sources of your game files & cracks.