It looks like you installed Steam through wine, you need to install the Linux version of Steam, then you can run Sonic Generations through Proton.
Once the Linux version of Steam is installed and you are logged in. Go o the menu: Steam -> Settings -> Compatibility and enable "Enable Steam Play for all other titles".
No idea what "Jazz Jackrabbit 3D" is since it's not a game in the Steam store. Unreal Editor doesn't seem to be available in the Steam store either and most likely a Windows only application.
Looks like Unreal Editor has an Ubuntu version and you can download it with an account.