One caveat is that WSL2 needs Hyper-V, and many anti-cheats won't work with it (many CS:GO anticheats, I think it will be true for many multiplayer shooters).
There have been games whose anti-cheat software incorrectly flagged Hyper-V hosts as being Hyper-V guests and would refuse to launch the game, but I believe they are all fixed.
All my Blizzard games seem perfectly happy to run on a machine that has Hyper-V.
All my Blizzard games seem perfectly happy to run on a machine that has Hyper-V.