Hello @winny-, by selecting Steam Linux Runtime, you've told Steam to not use Proton with the Windows game on Linux. This is a known limitation with the initial deployment of the tool and is being tracked at https://github.com/ValveSoftware/steam-runtime/issues/200.
Closing as a duplicate.
Your system information
Please describe your issue in as much detail as possible:
When installing Cogmind with "Enable Steam Play for all other titles" enabled (Settings → Steam Play), and the "Run other titles with" dropdown set to the default - "Steam Linux Runtime", results in Steam to download the game instantly. If I open up the game directory, it is an empty folder.
Upon launching Cogmind I get error message:
If I go in and change the "Run other titles with" to anything other than "Steam Linux Runtime" Cogmind will install properly. Alternatively if I change Cogmind's Steam Play tool, that also fixes the problem (Right click on Cogmind → Properties → General → [x] Force the use of a specific Steam Play compatibility tool, choose from dopdown).
In other words, Steam is permitting me to install a game with an invalid Steam Play configuration, causing much confusion and asking questions.
Steps for reproducing this issue: