NTFS doesn’t support symlinks, so it doesn’t work correctly from NTFS partition. Also it is possible that you can corrupt those files on NTFS partition by doing that.
Basically don’t mix Windows stuff with Linux stuff when running programs. It’s okay for media.
Well, technically Steam expects a file system to act as a Linux file system. Since some features that Linux file systems support do not exist on NTFS, it doesn’t work correctly.
By the way, if you’re gonna use Proton for a game, you can backup and reinstall it by using that backup on Linux. You don’t have to download it again.