I just tried it a while ago after fucking up somewhere with the installation of bottles because I figured that there was a chance it might work and until now I never had a problem with it. The only annoying thing for me was that I have to remove the installer from steam if I don’t want to clog my list of games with them and that I need to manually make the game’s page look good on steam afterwards. The only thing I miss on linux for gaming is playnite that one at least found the metadata for you.

Just add it as a non-Steam game in the Steam library.