SteamPlay (running Steam Windows games on linux) does not allow to change settings for Pro Evolution Soccer 2019 (PES2019) and 2020 (eFootball PES 2020). However, it is possible using an external wine install. This tutorial shows how to do that.

This tutorial has been tested with PES 2019 LITE and PES 2020 versions and Ubuntu 19.04, french localization. Paths can be different for other version of PES but should be almost the same.

I assume that all commands are done in the same terminal and steam library is installed in your home directory.

For PES 2020, just change the game name in paths.

We will use winetricks so if it is not installed:

sudo apt install winetricks

Then change the WINEPREFIX in order to work in a brand new wine environment:

export WINEPREFIX=~/.wine-PES2019/

Then, it is necessary to install .net 452 and fonts

winetricks dotnet452
winetricks allfonts

Run Settings.exe :

wine ~/SteamLibrary/steamapps/common/PRO\ EVOLUTION\ SOCCER\ 2019\ LITE/Settings.exe

Choose the fullscreen option (here in french, “Plein écran”) and other settings you want to change.

Then copy the generated settings.dat in the Steam installation :

cp ~/.wine-PES2019/drive_c/users/$USERNAME/My\ documents/KONAMI/PRO\ EVOLUTION\ SOCCER\ 2019\ LITE/settings.dat ~/SteamLibrary/steamapps/compatdata/950100/pfx/dosdevices/c:/users/steamuser/My\ Documents/KONAMI/PRO\ EVOLUTION\ SOCCER\ 2019\ LITE/

“My documents” folder in this command may depend your localization. Check what is the name of the folder on your system.

Finally, run PES 2019 and enjoy the fullscreen mode!

Thanks to @jp7677 for his help.