At least from Lutris you can run your games (pirated our otherwise) genuinelly sandboxed with something like Bubblewrap or Firejail, which as far as I can tell you can’t do in Steam (unless you sandbox Steam itself, which is problematic if for example you want to deny networking to some games but not others).

IMHO, if you sandbox them it’s actually safer to run pirated versions of games in Linux than running the official versions from Steam with no sandboxing, at least for AAA since pretty much all those companies have done or do abusive shit.