Two reasons:

First, rather than just overseeing the most profitable game in the world, Sweeney tied his leadership at Epic to picking fights with Apple and Steam to try to muscle his way into a broader industry position. With how broken and barely functional the EGS is, it's incredibly obvious there is no way he can muster a team to do ANYTHING like Proton, so his solution is to go full throttle into pretending Windows is fine and not a dependency with existential risk.

Second, the bread and butter of EGS is Fortnite, and the developers at Epic are apparently completely unable to engineer any kind of effective anti-cheat which doesn't involve kernel level access. It is actually easier to save face by pretending the entire Linux ecosystem doesn't matter than to officially support Linux and then have to explain why Fortnite isn't available.

The ironic thing is, if he'd put the money the company wasted on exclusives and free giveaways into actual development, they could EASILY have solved all of these problems. It is fascinating, however, to watch Fortnite players dump literal billions of dollars into the company each year, just to watch it get flushed away into absolutely nothing.