The use of Xephyr/VNC is only a workaround for depth conversion which X doesn't offer. Wine doesn't run well for gaming or perhaps not at all these days in those Xservers. Selection of opengl + rendertargetlockmode=readtex can help a lot and would perform better than a 8-bit X. Sure it might still not be great if your game does evil things but that are limitations of Wine in combnation with X. Some of the issues could be fixed but those require a lot of hacking time.
