Indeed funny! What happened after you installed the .exe Ubuntu? You clicked the icon and then ..?
I'm just past the 'stage' you're in now, I recently deleted my partition running Windows (kept it for GTA5). Only Ubuntu now.
It's rated Gold, and appears to work out of the box for some people, others have had to add an option to the command line that Steams uses to run it, and some people have seen some problems running it.
If you do end up going this route and try it, please file a report on protondb letting others know how it went.
https://www.youtube.com/watch?v=s_69huFZSLA
You may also want to check out PlayOnLinux which eases the creation of sandboxed installations for different Windows software (not just games), in which each one could use its own Wine version, libraries, modules etc.