They work just fine. You can either attempt to use the install script Lutris provides you and hope it gives you the option to supply your own files (this is primarily GOG games and source ports) or set up a new game from scratch by selecting the exe file of the installer and later changing it to the game.

You should check ProtonDB even if you aren't using Proton to make sure there's no additional fixes or edits that need to be applied.

If you need help or have questions let me know.