I can’t remember many native games not working (any longer). Basically only the Anomaly series, Ticket to Ride and some other indie game. Anomaly has a serious bug that gets it trapped in an infinite loop on modern systems during loading screen, but there is a community patch for that. Ticket to Ride removed the Linux port on steam instead of fixing it. The indie game worked, but they forgot to make the executable actually executable.

Though there are certainly a bunch of games from humble bundle era who got a half-hearted Linux port basically as a fee to enter the bundle, with no updates or support since then.

If you are talking about running game through wine/proton, then yes that’s expected. It works surprisingly well, but any new proton/wine version can have indeed regressions and game updates break stuff. Games that don’t get any updates anymore should work a bit better. An exception are games that are officially supported by Valve since those are bound to specific proton version and they even support some DRM solutions (steam+proton only), but they can break on updates as well.

Best situation is if they have a somewhat fixed release and maybe a few updates. Having updates very month is a bit a problem. Online games that lock out older client versions are a huge problem. Online games should generally rather be viewed as a temporary service, they’ll never be as reliable as fully offline single player games are.

Games that use directshow/Media Foundation for cut scenes also don’t work great when playing them through steam for legal reasons. Valve won’t distribute decoders and doesn’t want to depend on them being installed in the system. They convert videos on their servers, but only the first time a player encounters that video and that player will see a placeholder. Wine supports those cut scenes.

You won’t even have an perfect experience on officially support platforms, but you can expect it to work better and the devs to test stuff.

You generally can’t expect Windows/Mac/Playstation/Xbox… games to run on Linux, though they might do.