Well, running pirated games in Linux does mean doing diagnostics of why a game won't work - i.e. figure out the missing system DLLs and adding them with Winetricks - rather that having the fansy-pantsy install scripts in something like Steam or Lutris do it for you.

On the upside you can sandbox the pirated games in Linux.

For one of my games the official Steam copy wouldn't run in Linux, yet a pirate version runs just fine.

In summary, if you're doing the normal, expected thing, it's generally fine (with but a few exceptions) and works out of the box because there are scripts configuring Wine/Proton with the right DLLs for that game, but if you do anything outside that, you do have to understand how to get Wine/Proton to output the appropriate log information, what to look for in it to figure out which DLLs you need, and how to add the right DLLs (and which version: built-in or native) to that Wine/Proton environment once you figured out that you need it.