Proton’s a compatibility layer to translate between games that want to speak to windows and a Linux system. Steam downloads it for you if you turn it on as a setting, and most of the time you shouldn’t have to worry about it past that.
For pirated games: if you have the game as a folder with a game exe rather than an installer, you can still add it to steam pretty easily as a non-steam game and then just enable proton. If it has an installer this can still work, but it’s more of a pain cuz you have to add the installer to steam, run it with proton, and then switch the steam entry’s file location to the newly installed game. I honestly don’t recommend doing it that second way, I’m chronically allergic to bloat (arch btw) and even for me this is a dumb hacky work around.
Possibly a stupid question, but are you using the wireless dongle that came with the headphones? I have the same headphones and run arch as well, and my pc recognizes the dongle as “Audeze Maxwell usb” or something like that.
I’m running pipewire for my audio system and iirc it worked out of the gate with these headphones, though I did some modifications to get digital surround sound working too.