Someone benched JK2 under WineX.
That particular game got lousy results in comparison to native Windows. I don't recall the numbers but it's something like 100 fps native vs. 30 fps WineX. Other games function a lot better, but FPS games are probably amongst the most demanding of the bunch. I'd be interested in flight sims under WineX but I can't imagine how performance would be good, or games would be well supported (Transgaming focuses on popular titles), and I doubt a HOTAS would ever work.
I think you can have serious gaming under WineX. It just happens that right now, it seems Transgaming is focusing more on expanding it's game library rather than raw performance; that seems to be the correct strategy for reaching new gamers. Remember a game like The Sims is the best selling title of the past few years, and it works on low-end hardware. You don't need to target the elite crowd to do well, but rather the casual gamers and middle of the road gamers.
Besides, from a theoretical standpoint, I don't see why thunking from Direct3D to OpenGL *has* to impose a severe performance penalty. I could be wrong, but many of the Win32 API calls in Win9x thunk down to 16-bit implementations. And although Win9x has many problems, lousy speed isn't really at the top of the list on typical single CPU desktop PCs.