"Plug and play as on windows"
Well... ? most of the time
Where are you supposed to use the terminal to make things work?
Linux is even more plug&play than Windows since you don't even have to download the drivers manually (exception made for Nvidia, but you are still using a GUI for that)
I think you are confusing how things were years ago, the real problem here is making things work if you don't have the driver because you are using Debian or Ubuntu LTS for example, and you just bought a 5700 XT, the development here is slower (means you have to wait for updated drivers on your system) unless you pick a distribution with costantly updated (and unstable) drivers, this imo is where the problem really is.
You have to choose between compatibility or stability, at least on Ubuntu LTS you can install repositories (you could do that even with a GUI) it's not properly "plug and play" to set those up, but is not even that hard or different than finding drivers on the internet like on Windows, you just have to know where to look, the majority of the Linux community is really confused here and will just recommend to install another distro, something like Manjaro, instead of using a stable distro with small parts of the system slightly more updated and this is the correct way.
Some people are not even able to do that in Windows... Generally is not that different or harder
As for steam proton, this is just what you said, it lets you play games without fiddling with wine and it's plug & play