They mean other platforms like GOG or Epic, not stuff like consoles.

Steam games mostly work, with some exceptions. You can check out ProtonDB to see more precisely what games work, which ones straight up don’t, and which ones need a fix. ProtonDB will usually also tell you what that fix is, which is handy.

But most of the time, you can just hit play and not worry about it.

A note on dualbooting. Linux uses different filesystems from windows. It can access windows NTFS partitions, but it’s not a smooth experience.

A common pitfall is trying use your game library while it is still on a windows filesystem, from linux. Since you can see the folders, and even add them in steam, it’ll seem like it should work. But you’ll run into issues actually running the games. It’s technically possible, but not worth the hassle.

Generally you really want to either format your storage and redownload your games, or if you have the space, copy them over to a fully supported file system.