They also need low-latency access to the GPU, which I suspect is a fertile vector for privilege escape exploits.
In theory, sandboxing mechanisms could even be used to improve anticheat.
What I always sort of assume the endgame could be for highly competitive Windows games is something akin to cartridge or bootable floppy games from the 8-bit era, where games would install into or be supplied as disk images containing locked-down Windows installations that only permit signed (and possibly whitelisted) drivers and whitelisted applications, which would include the game and a small number of other approved applications like Discord, MS Edge and possibly selected third-party browsers, and support software for hardware like GPUs and gaming input devices, which Windows would then boot to run the game, either on bare metal or in an isolated VM.