I've been gaming on Linux for over a year now, and most of my games library was on GoG, though I also have a number of games on Steam.

Using Lutris for GoG games, in my experience the rate of "just runs out of the box" games (via Wine) is pretty much the same as for Steam (via Proton), both being somewhere around 9 in 10.

The Steam App basically wrapps the whole Proton, VKDX and so on with automated configuration, including game-specific configuration scripts, and that's the same as launchers like Lutris and Heroic doing just with Wine instead of Proton, but if you're trying to use those tools directly without such a launcher its like trying to run Steam games without Steam and just doing all the Proton/VKDX configuration (both general and game-specific) and launching yourself - the old way of running games in Linux from a decade ago which was a complete total PITA.