Steam emulation? Steam uses proton. Which is wine under the hood. Wine stands for "Wine Is Not An Emulator". It's a compatibility layer.

unlike Windows you should never give userspace applications root permission

This is a best practice on Windows, too. Apps don't run with admin permissions unless you either explicitly run them with admin permissions, they're configured to always run as admin (rare), or they request elevation via a UAC prompt.

you can mitigate a whole lot with

WINEPREFIX=~/Games/TheGame winetricks sandbox

eliminates links to home et al and houses all files in the prefix. also in the dosdevices folder there are links to root, home, etc. mapped to windows drive letters which (with the exception of c:) you can safely delete; this can also be accomplished with winecfg GUI.

if you ain't got opensnitch or an alternative running, you can prevent network access with firejailas a command prefix (the one where you put mangohud and gamemode etc in).

Wine does not "isolate".