You don't use DirectX on Linux, as it is a windows API.
Instead, you use DXVK or VKD3D which provide DirectX functionality, but while translating the actual GPU calls to Vulkan.
If you have installed the Linux version of Steam (not the windows version inside wine) Steam will handle everything for you after you enable steam play for all titles in settings.
In steam, you can choose a default proton/wine version to use, and also set one for each game in the game properties.
For Heroic, it should install these things automatically, but this may be broken. It wasn't working for me last I needed it.
Instead, you can use protonUP-QT to download additional versions of wine, which can then be used in Heroic. GE versions should come with DXVK and VKD3D already.
If you need a particular dependency (like vcrun), this can be installed using winetricks/protontricks.
When using protontricks, select the game, then select installing dependencies to the default prefix.
For Heroic, open the settings for a game. There should be a button to access winetricks, from there select default prefix, then install dependencies.
Find your dependency, and install it.