Multiplayer games often use a third party anti-cheat software. Some of them work on Linux, some of them don’t. What the previous commenter was referring to specifically is that some anti-cheat, like easy anti cheat has been updated to work in proton, but it requires that game developer push out an update to enable that functionality. Some do, and some (Bungie) have outright refused to do it, and even threaten bans for players that try to play on Linux.
Yes, they knew that, you described it fine. They were asking if Window’s equivalent, PowerShell or CMD is preferable. Though they fail to realize that most Windows users will never need to use either of those tools under normal operation, even if they could choose to use them to simplify some tasks. The terminal in Linux is encouraged, whereas equivalent(-ish) tools in Windows are optional and really only required for Sys Admins.