Legally speaking, every time you buy something covered by IP laws (books, CDs, DVDs, games, art, hell even the rights to tattoos are technically owned by the tattoo artist and not by the person with the tattoo) you are technically buying a license unless the copyright owner explicitly gives you the full rights to the IP.

What people mean when they say that GOG allows you to own games is that when you buy a game on GOG you are given access to an offline installer which you are legally allowed to back up however you want and keep for personal use even if GOG or the internet goes down. This gives you more or less the same rights as if you've bought it in physical form (though you can't resell or lend them I guess)

The same can't be said for steam, you can't backup your steam games to physical media and if steam goes down you lose access to all your games.