Did you know most coyotes are illiterate?

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.
I’m curious to see how the price will be affected as consumer PCs get stronger every year. Will they update the Steam Machine every couple of years, or will they decrease the price? I have to assume they are targeting a neutral price because their primary goal is to assemble a linux box with as little margin as possible and put it in front of you for an actual fair price, but “fair price” is a moving target.
Personally, I’m all for getting what I pay for. People who sell to you at a loss are up to something.