It's debatable it's going to be more stable.
I know it doesn't make sense at the first glance, but when you put it through a compatibility layer, the stability is expected to be better because you run it through a well-maintained, immutable software stack which is designed to run Windows games as close to the native environment as possible, and is actively supported by a giant company.
Compare it to making a native Linux build where the indie dev has to account for every distro out there and then support & maintain it on their own, and I think it should make sense why "just compile a .sh executable instead of .exe one" isn't as simple and obvious as it looks like.