You still run Windows in VM. Some people switched to Linux to get away from that.

That is much more difficult, might require various unsupported hacks and for a truly robust solution you'd need two GPUs. For games having a Vulkan or DX12 (via DXVK) renderer, wine can be as fast as native Windows with almost none of the hassle. DOOM(2016) is a very good example.

Many games ban the players for using that setup.

Examples: Rust, Rainbow Six Siege, DayZ. All the games using BattlEye can be banned.

On the other hand LoL handles GPU passthrough well.