There are a handful of mostly-older games that had native Linux ports by third-party porting houses which broke save compatibility between the Windows and Linux versions of the game. However, these old Linux native ports are generally absolute garbage and you're better off running the Windows version via Proton, which does have compatibility with your Windows saves as it is running the same exact game version. It seems most games with native Linux versions released by the actual developer are fine, it's just when they offload the Linux version to a porting house that it can get messy. Those old third-party ported games were typically from the original SteamOS/Steam on Linux era (2012-2015 or so) before Proton became a thing though.