Con Buggy client on Linux with little customer support
Linux support is generally overlooked. It is recommended to disable in-game overlay and to use a real browser to interact with steampowered's website. Basic library access works usually without a hitch.
Also do not expect real tech support on Linux. Forum questions of bugs often go unattended and unanswered.
Con Little support for older titles
Many older titles (10-15 years or more) are no longer supported and thus require much manual tinkering to run properly on windows 10, requiring digging though forums and trying many things. Compare that to GoG where these titles often run out-of-the-box.