I felt a compatibility module wouldn't offer nearly as good performance/efficiency as a game designed to run on Linux/ext4 - but are you saying that playing via Proton is fine?

Can confirm, it’s fine. There’s some variability of course but taken as a whole the environment is comparable in terms of performance. As long as you’re not playing AAA competitive games that have anti-cheat you are going to be fine with few exceptions. And there are plenty of examples where the proton experience works better than the native.

Check protondb to get a realistic idea of how well games will work.