• Only works on Windows
• Only works with Nvidia graphics cards (and only them, cheap nvidia card for physx + AMD card for graphics will disable PhysX)
• Not guaranteed to be faster for all cases, needs to be evaluated on a case-by-case basis
So even if the physics engine can, not all game engines use it. The Unity devs e.g. stated that they won't bother with it, as the limitations make it unattractive to pour effort into.
And you will need some of those results on the CPU.
Physics for particles is not uncommon to be done on the GPU though. There is no feed-back to the CPU required so latency becomes a non-issue.
At the end of the day, most scientific problems based on continuum mechanics need really fast level 1, 2, and 3 BLAS operations. That's mostly enough for simulating physics based on explicit time integrators. For elliptic problems or problems that require implicit time integrators, we need factorizations. Most of the time, we can get away with LU, Choleski, QR, and SVD. Both dense and sparse are required. For optimization with equality constraints, factorizations are also required.
By the way, if anyone wants to figure out how to do faster factorizations, dense and sparse, on whatever new hardware is coming out, that'd have an enormous impact on the scientific community. There are people working on it. There's not a lot of them.