well the trick here is that you need to install steam in play on linux, then install sc4 in that.
the boxed version generally works better though simply because of the steam limitations.
mostly because play on linux steam runs slow as hell while linux native steam runs fast.
you know that reminds me... why can't steam on linux recognize wine/play on linux as an untested/unsupported but available option for windows games in linux?
I just find it weird that the steam games require steam to be running to run and thus hinders this.
like for example, steam could see wine is installed and let you download your windows copy of a game with a little pop up about it being untested/unsupported, but come with say a specialized loader so that steam will start the .exe in wine or something.