Windows just plain doesn't work, more or less.

Anytime a game goes fullscreen, it would mess up my desktop. Sometimes the screen would just be stuck black or the display resolution wouldn't revert properly with fullscreen. Heck, fullscreen was so broken that I avoided it as much as possible. Borderless windowed was the way to go, where it was available anyway (which is most newer games but more rare as you look at older titles).

Actually, for fun, one of my friends was trying to install an old game from the era in a Windows 98 emulator to play it again because he couldn't get it to boot on 11. He spent hours and ran into so many issues, eventually giving up because it had no audio, wouldn't boot, etc. For fun, I tried the game's installer on Manjaro (through Wine) and it installed and booted with minimal issues on the first try.

Where you'll have an easier time on Windows is pretty much exclusively with games that are hardcoded to only work on Windows, whether because of an anticheat or because of some kind of DRM. I don't play any titles like that, and every game I've run on Linux Just Works™. I'd probably just boot into Windows for those titles if I played them, but otherwise, the experience on Linux is just so much better.