I just found this community, and in case anyone here has a game they really like and really want to play, but sadly doesn't have a macOS port and is just Windows only, this might help.
The best option you have is wine-crossover. While the Wine website currently doesn't offer a macOS build, the main macOS Wine maintainer has published the Open Source version wine-crossover, which works amazingly well and can even translate Direct X, meaning that video games work with it.
Just use brew install --cask --no-quarantine gcenx/wine/wine-crossover to download it. It will then just be a regular program in your programs folder called Wine. And if you double-click on any .exe-files, it will open them with Wine, translate them in realtime and execute them.
Then you just need to download the Windows version of Steam, just open it (with Wine), download the Windows game, and voila, you can easily play it :D
This is e.g. how I played Will You Snail (which is a really great game, but sadly only available for Windows) on macOS without any problems.
This works with most games, and as I said, I personally often use Wine to play Windows only games (or even games whose macOS versions are 32bit, which my computer can't run anymore).
However, if a game has too high graphic requirements for your computer to run, or does not work with Wine (which can happen with e.g. some games that use custom DRMs), then another alternative I know is Nvidia GeForce Now, a could streaming service which allows you to use your own bought games (e.g. on Steam) and play it on a remote computer. It is free to try, although you can only play an hour at a time with the free tier.
I've used the free tier for years (I mostly played in the middle of the night, so there were no waiting queues), and I even often played games that had a macOS build (like Planet Coaster), but which were too large to fit on my disk space. So this is definitely something I can also recommend and it's a good way to play even the most demanding games without any graphical problems.
The downsides are the limitations of the free tier (although the paid tier without queues or the one hour limit is also worth it you really use the service), and that you need at least a medium-well internet connection for it. Also, they sadly don't have the full Steam catalogue but just a very big selection of games.
So yeah, those are the tools I usually use to play games that don't have a macOS build on my macOS computer. I'm glad if this helps anybody else and have fun playing! :D