Because properly packaging/distributing your game is hard. Maintaining a build environment, running tests, having unique deliverables, it all adds effort. With Proton specifically, it's a much lower effort to report. If there is a linux specific bug, it's fine, because Linux isn't officially supported, it's just known to work with Proton. You also only need to ship one binary file (the Windows build), so you don't have to adjust or alter any processes.

This may not be the reason they do it, but there are real reasons.

Honestly, the Linux ecosystem is so fragmented that Win32 is the best API for targeting Linux.

Valve does not recommend that anymore.

And for good reasons:

Nearly all Linux native games I have from steam do not work any more. Glibc changes. Xorg gone. Other stuff. You would need to maintain and adopt constantly.

Having a product that advertises native Linux support on the storefront but requires Ubuntu 20.04 is nothing we or valve could want

Proton offers a stable surface, and decouples the dependencies

Actually good question as they apparently are using an altered version of unreal engine (https://www.wardynamics.com/) UE has linux support, but maybe that got lost in the changed version.

Games are typically made once, given a few patches, then abandoned. They will not keep chasing Linux dependencies forever so things break all the time. Windows is more stubborn about backward compatibility.

Proton usually works better than native linux lol