I don't intend to overly nit-pick, but since OP said themselves they are new to this: Wine doesn't translate the exe. It translates system calls from Windows ones to Linux ones. So to have an example: opening a file would be some system call in both systems. But, of course, different because the OSes are different. An exe would be calling Windows one. What WINE/Proton do is get that call and translate it into Linux system call, so that .exe can still open a file, as if it was running in Windows

As for OPs question: AFAIK when using dx11 you will still in the end be using Vulkan, just through DXVK (as this comment said, translates dx calls into Vulkan calls). Theoretically setting to use Vulkan in the game itself might have less overhead (no DXVK in the middle) but it's a mixed bag in my experience. I think that Windows Vulkan support is just not yet there, so the in-game code for Vulkan is so-so.
I second this: you have to check on which setting each game works better