A good amount of distros actively have this functionality. To avoid breaking system packages, you can install the distro package for the given module or as the error recommends: use a venv for the given project.
As to why many guides don’t include it, I suspect as typical for many Linux-centric articles: they weren’t been written by knowledgeable individuals or just in general are writing with knowledge that is often 5+ years out of date.
You use Steam for games on Linux primarily. Independent native games exist as well. Many Windows-only titles will be best run through Proton: Valve’s modified WINE bundle. Other store titles can be configured to run through WINE or Proton via apps like Lutris or Heroic (GOG, Itch.io, Epic Games, etc.).