AoE2:DE is one example of incompatibility. Simple game (by modern standards) with no advanced anticheat.
It's been a few months since I played but the only thing that doesn't work is Xbox login. I needed to download a DLL to get multiplayer working, which I agree isn't really userfriendly, but compared to the early Wine days Proton is a walk in the park.
What I do miss a bit is Capturage, apparently it's really hard to make it work in Proton.
It's even been less troublesome than when I used to use AMD GPUs, where IIRC accelerated graphics drivers and the ROCm drivers had some sort of conflict unless installed a certain way (a few years ago now, my last AMD card was a 5700xt).
This is true, but have also improved substantially in the last year or so.
The only problems I’ve had are that the intro video and menu for supreme commander forged alliance runs at very low frame rate (but the actual game runs without problems), and that Gothic 3 was very glitchy on steam deck. Everything else I’ve tried ran without issue.
I haven't tried that game, but I know for a fact that Fallout 4 works quite well, and it -- like Skyrim -- has a gold status on protondb.
There were also some rendering issues, but I could let that slide given my GPU is ~10 years old.
No idea where that came from but it's not the case.