GOG’s Linux support doesn’t extend much beyond providing you with the binaries that the developers supplied. You’re left to figure out running the games yourself and hoping the developer didn’t make too many assumptions about system libraries.
Valve provides Linux runtime environments for native Linux games to target and run in, plus tools for developers to use to build for that environment. It’s not perfect but you’ll generally have a much easier time with Linux native games from Steam.
I’m sympathetic to GOG’s goals, but generally stick with Steam because of Valve’s level of support and commitment.
If you want to keep using the GOG version, you could try running the Windows build in Heroic Games Launcher + Wine-GE or Proton-GE (they’re available as runners within Heroic, it works pretty seamlessly). You’ll also get Cloud Saves which GOG doesn’t support for native Linux builds.
The native Linux version of Baldur’s Gate II Enhanced is running fine for me from Steam (on Fedora 38 Silverblue + Steam installed as a Flatpak). It also features cloud saves (and achievements if you care about those), if you’re set on playing the native build and willing to switch to Steam.
Ha, I forgot about that one! Same as will likely happen with this game, I ended up skipping Shadow of War until it released on GOG with rubbish + Denuvo removed.