A lot of games rely on Windows Media Player to play videos. So that needs to be accurately reverse engineered for videos to work properly through Wine and Proton.
Support is slowly improving.
And the Unity game engine supports very few video formats on Linux. So lazy native ports with MP4 videos won't work, they would probably just crash the game. Unity doesn't support MP4 on Linux.
No idea, honestly. I'm guessing winetricks downloads the actual WMP, which would explain why it's not included by default. Not sure though