Personal anecdote: Since SteamPlay dropped I have not rebooted into Windows once. I've been pretty impressed at its ability to handle the games in my catalog. That said I'm pretty sure I've just been lucky thus far.
The only problem I have is when a game has a broken Linux port there doesn't appear to be a way to tell Steam to use the Windows version instead. An example of this is Eador, which has horrible graphics problems and is effectively unplayable on Linux due to it being a very slipshod port. I'm willing to bet that using SteamPlay on the Windows version would work much better if Valve would give me the option.
What broke my uptime was when I decided to try and play Gothic... Not that it "just works" on windows, there's a series of patches etc. you have to install, but with Proton I kept getting a dreaded access violation error about a minute into the game that I couldn't work around.
I too hope they make an option to run a so-called Linux compatible game using Windows instead. I've got a little category "failed in linux" for those. I bet you could do it manually by downloading the game using Steam running in wine and then using Steam's wine binary to run the exe...
they do give you the option to use Steam Play over native Linux client. Under the steam play menu in the preferences, select 'enable for all titles' along with 'use this tool instead of game-specific selections'.
Doesn't seem to work for Eador. Even with both of those options checked it installs the Linux version and doesn't seem to have an option for anything else. I was hoping there would be a dropdown by the install button asking which version I wanted, but it was just a regular install button and it gave me the broken Linux version.
The only problem I have is when a game has a broken Linux port there doesn't appear to be a way to tell Steam to use the Windows version instead. An example of this is Eador, which has horrible graphics problems and is effectively unplayable on Linux due to it being a very slipshod port. I'm willing to bet that using SteamPlay on the Windows version would work much better if Valve would give me the option.