TBF isn't this going to happen no matter what? As a linux user I have absolutely no problem with the OP saying "we don't support that distro, sorry" and closing the ticket.
I don't think so. If Linux isn't natively supported, even if it runs fine via Proton, you're much less likely to receive bug reports directly, because there's less of an expectation that things work without issues. And closing tickets doesn't help with negative reviews—in fact, some users may use that as a reason to give you a "thumbs down" on Steam.
Maybe but he’s talking about having to deal with the requests. Since Steam only supports Ubuntu LTS you can push the blame on them and say something like, “Sorry we develop for Linux via Steam and they only support Ubuntu x.04, feel free to open a ticket with them if you have further trouble.