Why would you make this a proton/wine convo when you are clearly unhappy with the practices used by the companies making the software. This isn't about the compatibility layer you're using, reframe your thinking. If you ran malware, Proton would say "yeah sure bud let me get that for you" and would run that shit. Proton isn't an antivirus or a security tool.
Also, privacy and security are completely different. Privacy is the right to not be observed, think anonymity. Security is the control of access, think authentication and authorisation. If you're attempting to run software on your user account, you've authorised it to run as you. Therefore every action you do that doesn't require a password is possible, if improbable. But yeah, they can see other open software, it can view your files and it can see your hardware. It needs to. It's a compatibility layer. It's still just software you ran on your machine.
I repeat, if you run spyware, you get spyware. You've just given it the tools to work cross platform.