As a primary Linux user, there are many cases that don't work. Many kernel level anti cheat (which I would refuse to install on windows anyway), some games have noticeable worse performance (obscure expedition 33 has low average fps and terrible dips on linux, but it's "OK" on windows for my specific hardware ).
On average, I think Linux is still better, but YMMV depending and what games your want and what HW you have.
It's always a dick joke. Or Loss.