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.