There can be challenges, but GOG already deals with all this stuff about rights for each release, so this is not different in any way. GOG can develop uniform way to package their Linux releases, no need to reinvent the wheel - these kind of problems already were solved, and solutions are known. Of course if GOG can come up with even better methods it would be useful.
Yeah GOG deals with them and games are taken down already. Chessmaster 9000 is no longer available for purchase. "The wheel" in *nix is to release the source and get the user to compile it, GOG can't do that. Although you're slightly different to other posters in that you don't want them to run, you want old Windows programs to run natively on *nix.
For that you need either a middleman program like DOSBox/ScummVM/WINE, or you need them to re-engineer the game and that's a lot of work, and possibly outside of their allowable rights. Being able to sell a game doesn't let you strip the source/assets out and rework them to run natively on other platforms. Although natively, that's ridiculous. The amount of work that would go into that... They've mentioned trying for it elsewhere, but it's still an extraordinary demand when you can just boot Windows and run them in their native system.
I should probably point out that I don't hate the idea of running games natively on Linux variants. I usually have at least one *nix OS installed either natively or in a VM and more programs available is never a bad thing. It's just that it's a lot of avoidable work. Especially when rights is such an issue, chances are companies will charge for each platform it's available on. Chessmaster 9000 was taken down, but games like Alpha Centurai only just got expansions. Some like Ghost Recon's still aren't available, and soundtracks aren't available on some games because other distribution sites host/have hosted those games with soundtracks. If games are open source then they should be on Linux, but for closed source it's difficult dealing with licensing folk. Most of them have an IQ in single digits and are related to accountant departments where the combined IQ is single digit. You're better off talking to the companies with the games you want.
I could be wrong, maybe GOG has everything they need to completely rebuild a game to run on Linux systems or the ability to build an emulator style system better than WINE. But you can just boot Windows. Photoshop/web dev on a Mac, games on Windows, security/soft dev/admin tools on *nix.