https://docs.bazzite.gg/Installing_and_Managing_Software/ explains very well how to approach it. There are different ways to install packages not pre loaded into bazzite in a very safe way. Have a look :)

Bazzite desktop is probably your best bet yes.

Plus one for Bazzite in terms of simplicity!

Sounds like a problem I just had with a pirated game. In my case I was just trying to run the wrong exe file!

To install these dependencies you can use wine tricks to install dll to your prefix. But it’d help if you were more specific about the game