I would assume as any other distro. Windows applications are run through Wine or Proton on Linux. I am not currently using Vanilla OS on my machine (using arch btw), still waiting for the stable 2.0 to dive in deeper.

To run Windows applications I would install flatpak package support in any of the subsystems (arch, fedora), then install Bottles for Windows applications and Steam or Lutris for games. Never tried Lutris for applications but it might work well too.