Having the same issue on Crossover Mac. I am able to get this to run on Steam Deck (linux), using Proton GE compatibility layer. Installed fine just as it does in Crossover Mac, and you must manually download MSVCR120.DLL and place in PlaystationPlus folder. You get that initial error "The application may not function correctly in a virtual machine (VM) environment."
in both environments, but it runs fine on Steam Deck. On Crossover Mac, I get a Program Error in Wine Debugger saying "The program pspluslauncher.exe has encountered a serious problem and needs to close. We are sorry for the inconvenience. This can be caused by a problem in the program or a deficiency in Wine. You may want to check http://www.codeweavers.com/compatibility for tips about running this application."
which is an endless boot loop after clicking close. Need to then force quit. This is not a complicated or resource-heavy application. Much prefer to run in Crossover than Parallels!