The big benefit is that you get damn near 100% compatibility with even games that have windows only anti-cheat because… you’re running windows.
This isn’t necessarily true - most anti-cheat programs detect VMs, and depending on the game, some may prevent you from launching the game (eg games using Vanguard), others may flag you and cause you to get kicked out of the game, or even get you banned (Battleye is pretty notorious for this, from what I hear).
Now there are some tricks you can use, such as editing the XML for your VM to mimic your host machine’s SMBIOS data / vendor strings etc, but it’s a bit of work and can be a hit-or-miss.
Of course, the best option would be to not support games which use invasive anti-cheat in the first place. :)
And if you’re on nVidia, it can be a bit of a pain to get it all going, since you need to patch your GPU’s vBIOS. You can see how much work is involved in setting it all up over here: gitlab.com/Mageas/single-gup-passthrough - so not for the faint-hearted. :)