Curiously I actually have an example of a GOG game - Project Zomboid - where the Linux version won't work on my distro (latest Pop!OS) because of missing libraries whilst the Windows version works perfectly under Wine straight out of the box when installed via Lutris, which is pretty silly.

As others pointed out, many times the Linux installers are also several versions behind the Windows ones.

When it comes to Linux, the one and only benefit of GOG is that due to their no-DRM policy and downloadable installers you have maximum freedom to do things like sandbox games to your heart's content and do thinks like run them with networking disabled - which you can't do from Steam - and older AAA games from around the 90s and 00s which often had nasty DRM, when they are available in GOG come stripped from the DRM and are thus more likely to actually work under Wine, whilst that's not reliably the case in Steam (I have an older game from EA in Steam which won't at all run under Linux from Steam no matter what you do, but a pirate version runs just fine - so I suspect it's the DRM, which was pretty nasty already in the 00s when the game came out - though since there aren't installer scripts for pirated games in Lutris, I had to learn the whole process of detecting missing DLLs and configuring them in Wine myself to get it running).

Mind you, it was a massive surprise when I moved my gaming rig to Linux about a year ago, that nowadays most games just work out of the box, both Steam games from the Steam app on Proton and GOG games using Lutris with Wine, given that my previous try at gaming in Linux about 5 years ago was a massive exercise in frustration which I quickly gave up on and that Linux instance just sat there for years in dual boot configuration but never actually used.