With GPU passthrough you can get almost native performance. This requires 2 GPUs though (iGPU as second one should suffice), dunno about the input lag and stability though as I only have one GPU
I believe it was brought up after the previous Windows update fuckup, so that's as good a reason as any. Some people don't want to reserve a partition just for Windows but still need/want to be able to use certain programs that aren't yet usable on Linux.
VMs safely contain Windows so it can't do anything to the host, and if you're playing a game on a Windows VM, you're probably not worried about using the host anyway. I've considered it myself, but I've done dual boot, and it's not worth having the training wheels, imo.
I only play games that work native or via proton. I just use windows for the CAD programs that i need to use. I do gpu pass through and native for my host system idk how this would be for gaming tho.
I have heard, though not tried, that GPU passthrough works for those diminishingly few problematic games where a certain anti-cheat is the sticking point.