bobby

then chang the path of the exe and the working folder to those of the installed game

I feel the need to underline this part because removing the setup.exe entry and the adding the installed exe doesn't work. The entire virtual drive gets deleted when removing setup.exe. This makes the procedure a bit more complicated than it should be but it's needed when it has to go through Steam because of Steam Deck Game Mode.

It gets ugly really fast.

It's super easy, barely an inconvenience. Just use Distrobox: https://docs.bazzite.gg/Installing_and_Managing_Software/Distrobox/

Games? Nigh impossible.

Decades ago DOS games had custom intro animations but that's not really relevant for current games.