This is more of a recommendation than an issue. When trying to selecting a different compatibility tool for a game by "checking" the box for "force the use of a specific steam play compatibility tool". Steam will start to download new binaries for the game immediately.
This is problematic especially when running "Native" games. So in case you had a "Linux version" before.. steam will now start downloading the Windows version for the game since "Proton" is the first selected "compatibility tool" in the list.

My recommendation:
The Download should start after selecting AND closing the Window. To prevent unnecessary downloads.