Yes, support for Borderlands 2 continued long after it was clear that Steam Machines weren't taking off, which means it's on a newer version than the Linux native one that Aspyr ported. You can still run the Linux native version, but if you want to play with your Windows friends or just get access to all the DLC, you need to run it through Proton.

Are you running it as root for some reason? Cause if you are not running it as root, it doesn't have root access, absent some kind of major security flaw in Linux.

It's Borderlands. They already had that claim. I don't feel good about it, but they made this change after I'd already started this trek. It's one more data point that gets me closer to only buying games on GOG, but I'm not all the way there yet. It's definitely nefarious that it's all good and legal to change the terms of the thing you bought after it's already been sold to you. However, I also don't see any evidence yet that it's actually getting root level access to your Windows machine other than someone's summary in a review, which is not exactly direct from the source.