The overhead added by Proton, compared to the CPU time consumed by the actual game, is minimal. The greatest benefit is that you don’t have dozens of Windows services hogging half of your memory and CPU.
Some games have some quirks that can cause performance issues when running under Proton. Deathloop, for example, was good on Windows, but unplayable on Linux with the same hardware (Ryzen 5 2600, 16G RAM, RX 6750 XT). There was massive stuttering even on minimum graphics, and every level took several minutes to load. It works now, but since then I’ve upgraded to a 7800X3D, so I’m probably just brute-forcing my way through the same issues.