To install a game you have bought on steam you need the steam client, the steam servers, internet and your steam account. If any of those stops being available you can no longer install the games you have bought. So while you can play the games once installed without most of the above, you can lose access to your not currently installed games.

Also, on steam you purchase licenses to the games which they can revoke. I.e. if steam turned evil they could take away games from your library and you couldn't do anything about it really.

Comparatively on GOG, you get a binary installer you can download and can keep forever without DRM so you don't need anything else to install the game in the future, even if it disappeared from your GOG account for some reason, you could still install and play the game.

You also need a Steam account, to which all your games are linked. If you somehow get perma-banned off of Steam, you lose everything.

Offline installer. So a game gets removed from your library for any reason. Now you get a new PC and can't play the game anymore. At GoG you get an installer that doesn't check servers and can work with no internet connection etc. So even if they were forced to remove a game from your library, you still have the installer and can install it whenever you want. So if you keep a hard drive of installers, you will forever own the game as long as you don't lose that data.