By default, Wine/Proton has access to your full Linux filesystem under the virtual Z:/ drive from within the Wine environment, so any dedicated adversary could include your Linux stuff into its data collection. The odds of this already occurring are probably low-ish. You can use bubblewrap raw to start sandboxing resources (e.g. blocking network access or masking directories), or there's a project called sandwine which presumably auto-configures the important stuff through bubblewrap (though I've never gotten around to trying it). Wine itself can also be configured to drop the Z:/ drive through its winecfg tool.
Without a dedicated configuration, I'm not sure Wine has any real priority or guarantee about sandboxing your original system from Windows executables, which is also why it's important to remember that Windows malware can still do damage when running on a Linux system. The malware doesn't really even have to be aware that it's running in Wine if it just tries to encrypt any files it can reach.
For what it's worth, when I signed up to piefed.ca it asked me to pick 3 interests and there were only 2 interests to even choose. I just clicked past the screen without picking anything, and it seemed to accept that as an answer. So maybe it's already working fine, and the text just needs to be updated to be more optional-sounding?