I'm not sure if this'll help, but here's my limited understanding...
Each game that you run on Steam via each separate version of proton, and I think this includes wine in general, will be running its own windows environment and that includes its own dependencies. So if you added VotV to steam as a non-steam game and try to run it with Proton, it will set up this new environment without any dependencies like C++... DirectX... .Net Framework, etc... Probably something like that.
So it's super important in the case of steam to... Hover over the game title in your library -> RMB -> Properties ->Shortcut -> Target -> Browse -> [/home/freyr05/Games/pa0082_0012/pa0082_0012/WindowsNoEditor/Engine/Extras/Redist/en-us/UE4PrereqSetup_x64.exe] -> Click PLAY
The above is the route to my destination. It ran an installer and I let it do its thing. It looks like I tried running every other .exe available before realizing I needed to reinstall Steam from the terminal rather than the PopShop.
If you get an error message beyond the C++ one, then it'll be related to the Steam installation, but for now try doing the above if things still aren't working.
BONUS - Windows Environment Location: /home/freyr05/.steam/steam/steamapps/compatdata/3915131074/pfx/drive_c/users/steamuser/AppData/Local/VotV... The .steam folder will be hidden by default so make sure you enable display hidden files in your file explorer. You might know this, but I'll add it for incoming users as well. Numerical location might be different; I organized by most recent folder since it was brand new as a cheat.
I also actually wasn't sure if the initial paragraph was true, so as a test I ran VoTV under Proton 8.05 (fresh) and it prompted the installation process of C++. It actually auto-ran the installer this time? Maybe because I'm using the alternative version of Steam now? Hard to say, but I hope some of this helps in any capacity.