Windows applications
Windows software runs through Wine. SakuraOS installs it the first time you actually need it, rather than putting a gigabyte on every machine on the chance that somebody might, and it can take that gigabyte back off again.
It is a switch that behaves like an operation
Turning Windows application support on installs about a gigabyte, so it does not pretend to be an instant toggle. It reports progress, it can fail, and the interface shows both.
Enabling installs Wine plus the two runtimes almost everything needs: Mono for .NET applications, and Gecko for anything that embeds a browser. Skipping those is the usual reason a program that "should work in Wine" does not.
Turning it off actually removes it
Disabling removes Wine and its runtimes again.
That is the half other distributions leave out, and it is why people end up carrying a gigabyte of Wine they stopped using two years ago. Offering only the installing half of a decision is not offering a choice.
Opening a Windows program asks first
Windows executables are pointed at a guard rather than run directly. Opening one asks a question instead of silently executing it.
A .exe that arrived in a download folder or an email attachment
is the single most common way a desktop gets compromised, and the fact that
the machine is running Linux does not make running the file a good idea.
Wine will execute it perfectly well.
What works
The same things that work under Wine anywhere, which is a great deal of software and not all of it. SakuraOS carries a small database of known applications so that the common cases can be recognised rather than left to you to work out.
Nothing here changes what Wine can and cannot run. It changes when it gets installed, whether it can be removed, and whether opening an executable is a decision or an accident.
Games. For games specifically, Steam's own Proton is usually the better route and is available from the App Store like anything else. This page is about ordinary Windows applications.