bobby

there is also Heroic, which is similiar to lutris but in my opinion a bit nicer to configure :)

Heroic defaults to an ancient version of Wine-GE. They are currently in the process to migrate to a new tech called umu-launcher which allows them to use Valve's Proton and Proton-GE directly. It's basically done, so should appear in Heroic 2.16 but if one tries Heroic today, the compatibility might be worse than Lutris or Bottles.

Then my memory must be wrong.

Maybe my memory is wrong or it was different in an older SteamOS version. I remember Valve changed something about mounting SD cards a couple of months ago.

I don't think Steam lets you pick the location for Proton's virtual environments which is where Steam installs non-Steam games. AFAIK they are always in the home directory and you can only pick a random location when it's a portable game without setup.exe.

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.