Most games are written for windows (or build the binary for windows), and many (if not still most) games with Linux builds run better through proton than the native build. It's worth noting that it's at least as common for games to run better through proton than natively on windows as it is to see any measurable hit from using proton.
Your limitation is almost entirely companies doing shit that should be jail time.
What issues does Forza have on Linux? I can't speak for the Motorsport series, but I've been playing 4 and 5 on my Steam Deck and desktop for a while now without issue.
Ah, gotcha - yeah that is definitely one of the pitfalls of Linux gaming still, which is the "there's so many different configurations and some of them just work, others don't" issue. I have an AMD card so perhaps it is an Nvidia issue - hopefully those sorts of issues smooth out once NVK is fully ready to go.