Because Crossover has out-of-tree patches and hacks and provides support as well as guaranteeing compatibility? The same reasons you work with any third party really.
CodeWeavers do submit their changes back to the main source tree though, IIRC. CrossOver is great if you're trying to run a variety of applications, but it may not necessarily be the best tool for the job if you're trying to fine-tune it specifically for only one application. And as anyone who's worked with WINE knows all too well, there are no guarantees with Windows compatibility.
Right now if my house burns down I can log into GOG and redownload almost every digitally purchased game I own. I don't have to remember what I bought, who I bought if from, or if I have the right to redownload them, or if they are selling DRM free
But I'd argue that that's something you have to do anyway if you've purchased games across multiple distribution platforms (e.g. HIB, Desura, IndieVania, Steam, GamersGate, etc.) - there's absolutely nothing wrong with insisting on going GOG-only, but I would think that the most effective way to ensure that native game development continues is to directly support the developers, by buying straight from them. With a niche platform like Linux or OS X, that would be especially important, given the often dubious financial gains to be had by devoting extra time and resources to doing a Linux/Mac port.
I don't see any difference (legal wise), between Linux user installing the Windows package through Wine and taking files out to run the game with DOSBox/ScummVM, and the same user doing it simply with ZIP package of the game.
You may not see it that way (and indeed neither would I) but to copyright lawyers it may be a different story. You could possibly liken it to the MPAA/RIAA's disputes over Fair Use laws, where they would see a copy you purchase for your own use as differentiated between copies you'd have on CD, a copy you'd have on your computer, a copy you'd have on your car, etc.
I'm not a legal expert, and this is all purely conjecture on my part but it's been stated earlier by TheEnigmaticT that it's all fuzzy and there are no clear terms on what the publishers/IP holders would say. If GOG decided to just release zip files with the clear intention that they'd be intended for cross-platform installation, they could open themselves and their customers up to a lot of potential problems.