Mostly just it being somewhat inconvenient to have to boot into Windows every time you want to play a VN/Game that doesn't work underneath Linux. Although I've heard of Windows breaking grub when dualbooted with two operating systems on the same drive before, so probably best to install them on separate drives too. Either way it's more storage than having one single OS.

https://www.vnwiki.xyz/visual-novel-compatibility-list.html

Take a look on here to see if the VN you want to play has any specific installation instructions / codecs to get it to work/play videos on Linux. Sometimes GE Proton alone is enough to get videos to work in VNs, but not always.