I've never heard of an XP game that won't work on later versions of Windows (hell for a long time modern-ish games were backwards compatible with XP IIRC).

Like was said most of it might be down to program issues. I know Riven: the Sequel to Myst will have graphical glitches if you install a version of Quicktime higher than (I think) Quicktime 5 or so--I had to go to Reddit for help on this once but wound up mostly soft-troubleshooting (see the responses). But then I think Myst III actually requires Quicktime 6...

I think some games also have speed issues where the comp can be just too fast. This mostly happens with really old MS-DOS games tho, but I know the PC version of Sonic & Knuckles (which was for Win95/98) has this issue too. That version also changed some of the music for some reason--I need to reinstall it to hear all the differences but I remember the Sonic 3 levels near the end having a lot of different music.

....

As for why have an XP machine, to be honest its because I mostly do older games and thus don't have need for modern OSes, but also because older OSes have little conveniences--like if you accidentally bork your installation, you can just wipe the C:\ Drive and reinstall (which isn't that big of a deal actually). Nowadays with DRM and Windows "licenses" I tend to not experiment as much because if I screw something up, I'm likely stuck with it. I remember having Windows 8 for awhile and absolutely hating how nothing was familiar and it even integrated with the BIOS which just bothered me to no end (you literally could only access the BIOS thru the OS, which is just wrong on so many levels. Fortunately removing the OS also made BIOS usage more traditional).

It's largely a matter of older OSes being simple and convenient and I don't have modern hardware (outside of this non-gaming laptop) anyway.