Should I play games natively on Mac OS when they are available?
tl;dr: Play games on the platform where you want more games available in the future.

Some software work better on certain platforms. Many applications, especially games, are usually made with mainly Windows in mind*, and only afterwards ported to other platforms. Sometimes companies/developers don't invest enough money/time/effort on making the non-Windows versions work quite as well. Of course, the reverse may be true too, but usually PC games are primarily targeted at Windows users.

Depending on how you want to shape the world, you have a couple of choices:


Full OS X: If you want more games on OS X in the future, play as many of those games on OS X as possible. More gamers on non-Windows platforms makes developing games for non-Windowses a more viable and attractive business for game companies.
Fifty-fifty, the golden mean: just try out both versions and see for yourself which one works better.
Full Windows: If you're serious about PC gaming, and don't care about affecting the status quo, Windows is your best bet, as that's where most of the games are.


*&nbsp;since that's what most PC gamers use (which, in turn, is because that's the platform that most games are made for, because that's where the most PC gamers are, etc.)