Windows software runs best on Windows.
And everything else runs better on linux/unix(osx included) ;P Those compatibility crutches don't make much sense and are a waste of time and money unless you are mostly interested in them for academic reasons or sheer curiosity. Virtual machines are a completely different story, but they are not good enough yet for gaming.
To be honest, I find the wine-platinum rated ones run about the same, some better even better than on windows. Also a lot of games run just fine, especially if they GL based. But he is right, Linux!=Windows (fine by me :).
Not tried cadega but i agree with Winni, the basic free "wine" package is more of a desparate man's fix than a serious solution. I assume Cadega offers much more. Although to say its a "waste of time" is a bit harsh, i have found wine useful when i just need to quickly do something windowsey without having to reboot.
Still I prefer linux-native versions of suff as they run far superior on say ubuntu than compared to the windows versions of the exact same software, and this to me is why i use it. I have really not had any problems finding good alternatives to all of my software i use.
Not had any problems with mono on ubuntu either - for running stuff, although for dev, the synaptic version of monodevelop is a quite behind and its a bugger to compile the latest version.