As others pointed out already, most distros will ask you which program you want to use on a file the first time you double click on them, and you can tell it to always use the same program for all other similar files (just like windows btw)…the only difference with windows (regarding exe files) is that you need to have wine installed first (lots of distros have it preinstalled though). You can still do it later by right clicking (again, just the same as windows). I fail to see what’s so complex about that.
You cant have the same expectation with Wine regarding any windows software vs Proton for games, games and softwares can be awfully different, that’s why Wine can be a pain to use, and why it sometimes needs more fiddling for some soft than Proton does with games. Also some soft wont work on Wine period. Some softs will work just as simply as games on proton, some absolutely wont.
I am sure you are aware that windows softs are made for windows, so it is a bit odd to expect a different OS to handle exe files perfectly and make it an out of the box experience, it was never made for that. I have yet to see anyone complain about not being able to run any Apple exclusive app on windows, sure Linux has Wine and Proton, and that’s cool… but some people don’t use it. So yeah it won’t be smooth and yeah it can get complicated, yet it’s still better than nothing don’t you think ?
I think all this should answer your post and your comment. Sorry if it sounds like I am scolding you, but to be plain your post is asking why an apple can’t be an orange.
If you need any help with something and don’t want unconstructive or vague answers it’s better to be specific about your issues and to consider that one problem with an exe file (or anything really) won’t be solved the same way as another. And if you don’t get something just say it instead of accusing anyone offering advice of being cryptic or unhelpful snobs, you won’t get far if you annoy everyone…just saying ;)