- Mod managers, trainers, and other external programs that should probably run in the same prefix as the game; yes, it's possible to manually run them in specific wineprefixen with specific Proton versions, or to use tools like SteamTinkerLaunch to pop up a menu first, but these are quite a bit clunkier than just running everything in the same prefix. Vortex and Mod Organizer 2 especially come to mind as being designed to handle multiple games within the same installation; the Proton-centric approach instead encourages having separate Vortex/MO2 installations per game, with all the shenanigans around browser URL associations and such that produces.
- Steam-managed editing/authoring tools for Steam games (e.g. the Creation Kits for various Bethesda RPGs). The Proton-centric approach results in these tools being in their own wineprefixen separate from the games themselves - and while that ain't impossible to live with, it's a lot less convenient than everything sharing a prefix.
- Newer installments in a game series importing save data from older installments (e.g. Mass Effect prior to Legendary Edition being a thing, or the Saint's Row games). Much easier to handle when everything's in one wineprefix; much more difficult when each game is in its own wineprefix (especially if these games don't offer an easy way to manually browse for the data to import).
It's theoretically possible to achieve some of this with Linux Steam + Proton by pre-creating shared wineprefixen and symlinking each game's own wineprefix to a shared one. This also defeats a lot of the point of using Proton in Steam - whereas it's easy enough to just... run Windows Steam in Wine directly (possibly even using Lutris or Bottles or what have you to create separate Windows Steam instances for separate sets of games).
That doesn't answer the question of why anyone would run the Windows version of Steam on Wine, rather than running the Linux version of Steam, which would use Proton (which is built on Wine) automatically and painlessly.
(Eg Netflix plays on Firefox/Chrome under Linux, but if you run Chrome under Wine on Linux instead, you get 1080p video instead of crippled 720p crap.)
It seems that every Windows game in Steam that I've tried recently (Helldivers 2, Hades 2, Hogwarts Legacy, Talos Principle 2, etc) have been flawless in Steam for Linux since Steam will run them with Proton.
Even non-steam games such as Starcraft II work well by adding battle.net setup.exe to Steam as a "Non-Steam game", and selecting Proton as the compatibility layer.