Since it’s ELI5, I’ll try to be as clear as possible. Windows and Linux distros are different operating systems, so their programs are their own. If there isn’t a compatibility layer present (or an emulator) you won’t be able run a program written for the other system. What Steam does on Linux is, it uses a compatibility layer (Proton) to run Windows games. Proton is Valve’s version of WINE with some specific improvements, mostly targeting Steam games. That’s how Steam Deck works. You can think the other way around of this is Microsoft’s WSL (not exactly).

So, because of there needs to be a compatibility layer, it might not always work as intended for some games (though numbers are decreasing with every update). Most of these games are games that use an anti-cheat, though Valve included Linux versions of BattlEye and EasyAntiCheat in Proton, and if a developer uses it, there is no problem for that game. For example, Hell Let Loose works fine because of this. Note that, some games will use kernel level anti-cheat (or currently using), those games won’t run at all.

From what I found, there is also a possibility that you might have a hard time with some older games that use a custom-built engine. I mostly encountered this with some Japanese games. Though, those games usually don’t work on something over Windows 7 too.