This is technically only true if you have a single disk. The EFI spec allows for a single EFI partition per disk, so you can definitely have multiple in a system. I know this, because my setup has multiple EFI partitions. Windows doesn't like it, and it will try it's hardest to share a single one with Linux, but if it's on its own disk, you can set it up with its own EFI partition using the command prompt.
Unless they're poorly written, native games will always run better. The GTA IV PC port is fine.