When you buy from GOG, you get an installer executable, instead of some DRM-infected mess. A lot of people prefer the ease-of-use of Steam’s launcher having your library in one place and only a couple of clicks being necessary to install a game, have play data (achievements, play time and such), things like that. Galaxy is GOG’s attempt to bridge that gap, but also isn’t necessary to install or launch games, unlike most things (not all, but most) on Steam.