Wine Is Not an Emulator. ;)
...well, okay, so that depends on your definition of “emulator”, but compared to a more traditional emulator like Dolphin or even Rosetta, there’s very little performance impact from Wine in most cases.
Metal calls are pretty much kept as-is, whereas Wine has to translate DirectX operations to OpenGL or Vulkan, like VirtualBox or Parallels.
But it's true that when it comes to raw CPU power, Wine very likely provides the best performance.
Anecdotally, I remember playing Team Fortress 2's native port on Intel i7-2630qm CPU on my laptop back in 2012-2013 at 1366*768 resolution with no major performance difference. (setting up bumblebee was not an easy task for me back then.)
IIRC quite some games did run faster on WINE (if running at all) than an Windows. I would be interesting to know if the same is true for Proton.