Wine is not an emulator. It's not sandboxed either. If you can do it as a user, a program running in wine can do it too.

There's nothing stopping a piece of malware from crawling your disk for sensitive information, or encrypting your files for ransom.

Pirated ganes may contain linux viruses. No need for wine

Hard disagree - the point is a decade ago there wasn't enough Linux market share for bad actors to target Linux. Proton is a compatibility layer, which while technically being a sandbox, it isn't designed around security the way a browser sandbox is. It would not be hard for a virus embedded in a made-for-windows program to identify that it's actually a proton sandbox, then deploy a Linux-specific payload (assuming the malware designer gave it some forethought for that situation). Heck - there's plenty of viruses that do their work in scripting languages that don't care what OS you're running on.