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Or do I have to buy it there to play with them?
This question / problem has been solved by XMogimage
If anyone is still wondering, according to this old post, this game does support cross-play between GOG and Steam. There were some issues last year with version mismatches, but that should be resolved by now.
Can attest that they still haven't resolved this. You won't be able to play with anyone having it on Steam as of yet.