Given that Proton is open source, provides plenty of instructions and permits reproduction and distribution (BSD-3-Clause-Open-MPI), any other store could likewise include it or a fork of it. They may have a factual monopoly, but it's not enforced legally in any way.

It's just that nobody seems to compete meaningfully. Steam has a vested interest in being independent from Microsoft, maintaining their own SteamOS and making games run on it. Other companies just might not have the same commercial drive. And if there are easy to use 3rd party tools that people are content with, why would they bother investing in their own solution? They're accessible to the Linux market through no work of their own.

Of course, there are some companies actively not wanting to work with Linux. Some just don't trust the platform. Some require particular technology that might not work on Linux. For example, things like kernel-level-anticheat being confined to the wine environment defeats the point of spying on the whole OS. And some would require additional work to make it run smoothly, which obviously is an investment into a market they may feel doesn't promise enough profit.