Some notable Linux gaming failures for me:

Roblox. Kids really wanted me on this but I've never been able to get it to work. Technically not on Steam/Proton, but a notable failure.

Eador: It runs but the graphics are completely garbled.

Anything VR: No luck at all getting QuestLink working on Linux.

Several games don't like later versions of Proton and I have to force them on older versions. This isn't a huge problem except that it it an annoying amount of fiddling to figure out which version is working.