WINE: Wine Is Not an Emulator
API call translation is often very inexpensive and, particularly in the case of DXVK for graphics calls, sometimes actually results in faster code if the underlying API implementation is more performant than the original Win32 equivalent – see Elden Ring launch day performance on Linux vs. Windows for an example of this.
You may be interested in reading this post about the process of packaging Steam.
tl;dr: It’s mostly an annoyance reserved for packagers to deal with. Dynamically linked executables can be patched in a fairly universal fashion to work without FHS, so that’s the go-to approach. If the executable is statically linked, the package may have to ship a source patch instead. If the executable is statically linked & close-source, the packagers are forced to resort to simulating an FHS environment via chroot.