Nah, it’s an issue, full stop. PIA isn’t responsible for making its shit work everywhere (tho it would be a more responsible approach to use an universal approach) and Bazzite isn’t responsible for making sure every program works on the distro.
I found, as an experienced Linux user, that with Bazzite you’ve got to forget the complicated approaches you’re used to, and go for the easy one, it usually works. Lots can be done from KDE’s system settings, or from the bundled utilities. Also I disagree with the order they chose for the application installation methods on their wiki, I think distrobox should be right after Flatpak.
I went from Arch to Fedora idk, I think over a decade ago and haven’t looked back, not sure how things are nowadays, but I switched again this year from Fedora to Bazzite and I love it. Sure, you’ve got to learn to do things a little differently, but so far it’s been great. And it forced me to use distrobox, which honestly I should have done sooner, it’s absolutely great.
Proton has a client app as well, doesn’t it? If it doesn’t have OpenVPN/Wireshark config support I would avoid it