It's not like 100% of games someone wants to play will work on Windows. Back when GTA 4 was relatively new I got it as a present. Took months until the Games for Windows Live DRM permitted me to run it, and even then only offline. Another example - that's a while ago, but that's when I realized the compatibility you get from Linux: I tried to play the original Anno 1602 and of course booted up Windows, and it just was impossible at that time to get it to run. Annoyed me enough to finally try it on Linux, with the regular wine, where it just worked.

Sure, you can always dualboot, but it's honestly a hassle after a while. Windows updates every time you boot it up (when it's seldom enough), Grub breaking occasionally, and when you are used to Linux modern Windows is just excruciating user hostile. When 90% of your Steam library works anyway it's just not worth it.