I basically went the same way a few years ago. It's a shame that there are still gaps, and I understand why it doesn't work for everyone. But if you really enjoy using Linux or you're really sick of Windows and you're willing to try limiting yourself to Linux-compatible games, you will find that there are more games than you have time to play.

If you're willing to pair Linux with a gaming console, you get coverage that's more than good enough for me.