While that maybe true which is why Wine does work in some games, it is fully true when it comes to DX10 and now DX11. This is the main reason why the DX10 project to export it to XP was stopped. Cause it had to reverse engineer some aspects of DX10 which are considered closed source and Microsoft has the copyright for it.
So yes while it may work for games that are DX9 and lower, the truth is still that if it requires any part to be reverse engineered for any Windows program it would violate the Terms of Use. Even Windows has it stated right in the EULA during the install that you will not reverse engineer any aspect of the OS.
So no if you just need to use libraries then it wouldnt. But if you have to reverse engineer anything that deals with the Windows OS itself you would be treading into illegal territory.