To make Borderlands play movies and cutscenes, install media foundation framework:
First, run the game once to create the wine prefix.
git clone https://github.com/z0z0z/mf-install.git
git clone https://github.com/z0z0z/mf-installcab.git
cp mfplat.dll ~/.local/share/Steam/steamapps/common/Borderlands\ 3