Your concern is totally legitimate. Wine has been really good lately and it just seems redundant to use Wine and Native binaries for the same game. The decision is totally yours of course.
In the case of a game not working in Wine, then obviously the Linux binaries are another option.
I found that native games just run better with less "tweaking" and less "headaches"
Recently I have run into pulseaudio problems in PlayOnLinux. It is really killing my gaming experience and game tests.
Almost every native game I've run: Quake Wars, Quake 4 and Jedi Outcast, Wakfu, Brutal Legend, Portal, Portal 2, Left4Dead 2, Costume Quest, Drox Operative, Ravensword... and a few others I can't remember.
So there are some benefits to running the game natively, but if Wine is working for you, don't change a thing. Its really on a "need" basis.