I thought Steam could automatically load up Wine, or something like that?
Or not sure. But I have not found a way to run arbitrary Windows Steam games on Linux with Proton. Not sure how I would do that.
I tried Proton a while back. My experience was hit and miss with my particular collection.
It might be named a bit confusingly though, I'm at work and don't remember exactly but it might be worded something like "Override proton version for all games" which also enables it for games not explicitly marked as compatible.