The Steam Deck encourages devs to test on Wine/Proton before release. Games like Spider-man Remastered have boasted about being Steam Deck verified on day one. Having a Linux "native" only handheld wouldn't have helped put nearly as much spotlight on the device. And in the end it really doesn't matter too much. It works and it does a lot of things better than the platform it's "emulating" so who really cares?
And thank god. If Microsoft hadn't done all the work of building an easily-copied raster graphics API, we wouldn't be so lucky as to preserve them all on Linux. Want to play Diablo 2? You can't, at least on Windows anyways. It's broken by default, and getting it working entails a variety of full-screen, low-res hacks. Want to play the Fallout games without their infamous windowing issues? Not an option, even on Windows 11.
With Wine, all of these functions can be mapped to their modern counterpart. Tray icons and fullscreen behavior can be updated to work as they should in x11, Quartz and Wayland. Breakage can be worked around in the same way Microsoft does with registries, but by the community. The end result is good enough that entire portions of Microsoft's customer base could just move over to Wine without knowing what happened.
Honestly, the best thing Microsoft could do right now is turn DirectX into a useless Metal-style API, and send the game devs running back to Vulkan. Would certainly make porting to multiple consoles easier.