Also, not every developer/publisher has - or is willing to commit - the resources to release their games on Linux/SteamOS. It's difficult enough to release a game for Windows that runs reliably on the multitude of hardware configurations out there. Duplicating that effort to release on another OS is a massive undertaking for some.
And sometimes it is a crutch that Microsoft doesn't provide. I recall Windows Vista causing some pain for old games - such as requiring the Screen/Resolution window open otherwise Starcraft would run with corrupt colours. Wine isn't perfect, and I expect it never will be. But short of a full virtualised Windows XP, it is one of the best ways to run those old games that aren't getting treatment from the likes of GOG.
WINE can make a lot of really cool stuff happen. I suggest you take another look.
Disclaimer: I contributed a patchset to WINE 4 years ago.