Shaders are the tiny programs that generate a lot of the graphics you see in modern games. They have to be compiled into machine instructions in order to run on whatever hardware you have. Compiling each one takes a little time. Some games compile them all at once when you launch the game, so that they're ready to go when needed during gameplay, while others let the graphics driver compile them on demand, which can lead to unpleasant frame rate hitches.
Steam's Proton tries to help with this process by keeping tabs on the shaders that a game needs, compiling them for your hardware before launching the game, and collecting the compiled versions for use by other players with similar hardware. If someone has played the game with Proton before you, then Steam will give you copies of their shaders, so you don't have to spend as much time waiting for your machine to compile them. (If this processing step is taking forever, it's possible that you've encountered a bug, or a problem with the network or Steam's servers.)
You can skip that step and jump right into the game, but then you might find the game's frame times feeling stuttery or even pausing for seconds at a time while the shaders compile on demand. It won't harm your system, but it can be annoying and make it hard for you to perform well in competitive action games. If you play through it for long enough, all the shaders that get used will eventually be compiled, and things will run smoothly thereafter.
