For a couple of real world examples:

• CrossCode from GOG needs a specific version of both Proton and the underlying engine. Otherwise, the controls don’t work using the Linux Native version.
• Stardew Valley (Steam version) will not work with mods and multiplayer unless you use the Windows version and follow the manual instructions for installing the windows mod loader. The Linux version of Stardew will not connect to multiplayer.

Those are just two I could recall off the top of my head, but I’m confident there’s others like that.