Proton is really meant to work through steam, UMU is meant to replicate how reliably games run through steam+proton without steam. There's a reason that heroic and all the other game launchers are switching to UMU as the default for running games.

My basic understanding is that, in addition to proton, steam provides a set of Linux runtimes, to make sure that the converted system calls from proton always match up with the correct standardized runtimes on the Linux system, regardless of distro. They also provide winetricks/protontricks as needed for games. There's also some system variables passed to tell proton/etc that the game is running through steam and has this setup. Finally steam distributes shader caches, which both improve performance, and bypass proprietary video codecs by replacing them with open source friendly video files.

UMU is basically replicating all of this except the shader/media distribution, hopefully allowing games to run as reliably outside of steam as they do inside of it.