I too prefer to buy from GoG, but I often add my GoG games to be launched through Steam as non-Steam games so I can take advantage of features like Proton and Steam Input.

If I want to take advantage of certain features Steam only offers to games you buy through them, I will buy through Steam instead of GoG. Usually when I do this it’s for multiplayer or save file syncing reasons.

Steam features you can use with non-Steam games:

• provides SteamInput which allows me to use any game controller in any game with a lot of configuration options. It’s the best tool for that purpose I’ve ever seen.
• provides Proton for playing Windows games on Linux (and I do 99% of my gaming on Linux these days)
• provides VR headset drivers and tools for using different VR headsets with games not designed for them
• provides a TV and controller optimized interface (“Big Picture” mode)

Steam features exclusive to Steam games:

• updates games automatically
• backs up my saves and syncs them across devices
• provides multiplayer server infrastructure making it easy to play with friends
• provides modding infrastructure, although not all games use it
• provides tools for managing which version of a game you have installed