90% of games with Proton "just work" like you said. It is amazing.
But then there's that one game that doesn't work, or works but with half the fps... for me, it was Death Stranding. It runs at 60+ fps at 1440p on Windows, but runs at half that on Proton, with horrible artifacts/frametime on Linux + Proton (even the community mod "GloriousEggroll" Proton version).
If CyberPunk is any good, I'm going to buy it and want the best experience... for now, that probably means Windows, unless by some miracle it works on Proton with no issues.