Very few are these days with the enormous amount of resources Valve has been pouring into Proton. The only truly Windows-only games I have encountered were online multiplayer with anticheat and that was almost always because the developer chose not to support Linux (e.g. EAC, Rust) and not for lack of support for Linux.
Perhaps that wouldn't happen if more people switched...
those are the vast majority of games that people play
and people won't switch if there is no way to switch, it's like asking people to go on a hunger strike