It's fine. If you're worried about viruses or anything dodgy in the game files, linux is like a natural antivirus program because most viruses are windows programs for windows exploits.

This is not great advice. Viruses have historically been less common on Linux than Windows for a number of reasons (something something material conditions). The Unix operating system model has had a more robust security model than Windows for a long period of time, the majority of software on Linux is obtained from trustworthy centralized repositories which have various degrees of oversight, and it has historically been an incredibly small section of the market compared to Windows, making it not worth the effort to write general purpose malware for. Things have changed a great deal since the zenith of Limewire though.

Windows security has gotten substantially better (certainly not bulletproof, but it used to be nonexistent). The days of everyone running everything on unrestricted admin accounts died with Windows XP 15 years ago, narrowing the gap between NT and Unix. If somebody is going to write a virus today, it is just as likely to target end-user software (like a web browser or a word processor) as it is to target the operating system. There is a long historical catalog of security vulnerabilities which have been patched, leaving a trail of breadcrumbs for malware authors to target outdated software. A flaw in the OS's security model (i.e. privilege escalation) is not necessary to conduct surveillance, steal sensitive information, DDOS random sites, hold your files ransom, or get a process to re-launch every time you log in. All you need is for malicious code to be executed.

With the introduction of the Linux kernel into billions of consumer devices (wireless routers, android phones), and the introduction of GNU+Linux into consumer devices like the Steam Deck, the incentives to produce malware targeting GNU+Linux are constantly growing. Additionally, with the constant forward march of compatibility layers like WINE / Proton, it may not even be necessary for malware authors to specifically target Linux users. Here is an excerpt from the WINE FAQ (which applies just as much to Proton, as it is simply a fork of WINE):

Is Wine malware-compatible?

Yes. Just because Wine runs on a non-Windows OS doesn't mean you're protected from viruses, trojans, and other forms of malware.

There are several things you can do to protect yourself:

• Never run executables from sites you don't trust. Infections have already happened.
• In web browsers and mail clients, be suspicious of links to URLs you don't understand and trust.
• Never run any application (including Wine applications) as root (see above).
• Use a virus scanner, e.g. ClamAV is a free virus scanner you might consider using if you are worried about an infection; see also Ubuntu's notes on how to use ClamAV. No virus scanner is 100% effective, though.
• Removing the default Wine Z: drive, which maps to the unix root directory, is a weak defense. It will not prevent Windows applications from reading your entire filesystem, and will prevent you from running Windows applications that aren't reachable from a Wine drive (like C: or D:). A workaround is to copy/move/symlink downloaded installers to ~/.wine/drive_c before you can run them.
• If you're running applications that you suspect to be infected, run them as their own Linux user or in a virtual machine (the ZeroWine malware analyzer works this way).

How good is Wine at sandboxing Windows apps?

Wine does not sandbox in any way at all. When run under Wine, a Windows app can do anything your user can. Wine does not (and cannot) stop a Windows app directly making native syscalls, messing with your files, altering your startup scripts, or doing other nasty things.

You need to use AppArmor, SELinux or some type of virtual machine if you want to properly sandbox Windows apps.

Note that the winetricks sandbox verb merely removes the desktop integration and Z: drive symlinks and is not a true sandbox. It protects against errors rather than malice. It's useful for, e.g., keeping games from saving their settings in random subdirectories of your home directory.

If you want to mitigate the possibility of running malicious code, there are two options. You need to properly sandbox the application, either in a virtual machine (not viable for modern video games), or a sandbox layer akin to bubblewrap. It does appear that Bottles does this via FlatPak, but I do not know if this is something which is always activated, or if it is an optional feature. The other option, which is not fool-proof, is to scan the files using a tool like ClamAV.