If running a windows game through wine, there are some risks if the game contains a virus.

The biggest risk is that wine typically makes your Linux user files available by having them mounted as the z: drive. If you run an exe that's actually ransomware, it can possibly encrypt some of your userfiles if permissions allow. This isn't an issue if you run the games through steam, because it runs windows programs in containers.

There's also a risk of keyloggers, but they should only work for things running inside the same wine session.

Mostly avoid downloading and running packages from sources you don't trust. And if you're going to run something you don't fully trust, try to run it sandboxed (like firejail or a vm, for example). Linux is generally safer than Windows because a lot of malware are created to exploit Windows weakness... also, if you use Flatpak (sepecially verified ones) or your distro package manager, you will hardly get infected.

Disable snaps?

It's not needed, i contributed to fmhy.net, all if not all most websites on there are vetted and safe

Big difference between Linux and Windows: Linux permissions are per-process, while Windows permissions are per-user. This is why Windows needs Defender in the first place (in addition to being the big target).

If you're not using root all the time, risks are very low.