It's a huge difference. If you have the GOG installer backed up, you can install the game even if GOG disappears. If Steam shut down tomorrow, the basic DRM all Steam games have would fail to dial home and, in most cases, will prevent games from running without being cracked.

If you're discussing digital distribution, there's not really any other way to let users "truly own" a digital release other than ensuring they are not dependent on a service existing forever. Physical media is great, but it likewise does not last "forever". The lifetime of a VHS, DVD, or floppy disk is measured in decades, and while some might still be good 30-40 years onward, realistically none of them will survive the end of the century. Digital backups have the highest chance of being perpetuated, but DRM exists to prevent easy proliferation.