I don't think this is because Steam, Proton, or Linux are particularly good on their own (they are, extremely so) but more that windows is just so awful.
My observation is that windows is slow at everything. I think because of Defender, but I'm not certain. If you set up a Linux VM on a Windows machine, most tasks run much faster than an identical task on the host OS. It's insane.
I run my C++ compiler in a linux VM because running it on windows is, no exaggeration, twice as slow.