I really enjoy Linux but I find myself having to keep Windows partitions around for software that specifically requires Windows.
Proton makes everything easier by automatically running game files through a translation layer, and it “just works” quite well most of the time.
Also VanillaOS can apparently auto-spin a container when you try to open a .deb or AUR package (this is my rudimentary understanding).
Setting up WINE/Bottles, etc. is above my pay grade.
Is it not possible to create an OS that just does the same thing as Steam but for the entire OS?
No you need some integration for sure. You could create a custom desktop entry, launching that .exe file with custom parameters. Or create or find a filemanager extension.
Simply that .exe files are often installers, bottles installs them, finds the launch links and converts them to desktop entries.
This is they way this is done. Stop using stuff the windows way, it simply doesnt work well.