Nobody is saying you cannot do on Steam, the big difference is that you can do that on 100% of Gog games, on Steam only on a very small percentage.

And there are other noticeable difference, on Steam you have to go through the file and backup them, on Gog you get the drm free installer for the last version of the game and any previous version that you want.

Is clear to me that on this regard Gog is much better than Steam, would be crazy to say otherwise.