Dungeons and the sequel Dungeons - The Dark Lord uses DRM in form of external online Kalypso launcher and requires a Kalypso account.

There is also steam exclusive content (Dungeons Steam Special Edition) - additional map packs and items available only on Steam.
GOG is against selling incomplete editions.

I am wondering if now Dungeon 3 will be removed from GoG because on Steam I got with last Add-on an external launcher there.

Dungeons 2 on steam also uses Kalypso DRM however it has no Kalypso launcher in gog game. So it's more likely not because of DRM (Kalypso published their other games here as well).

If I'm correct, it's rather about curation in GOG and the fact that developer/publisher of the Dungeons series are... well, not too keen on accenting the existance of first Dungeons game(s).

First Dungeons game had, according to what I've read (didn't had opportunity to play it) some issues with gameplay, general quality of the game etc. Dungeons 2 was like a "soft reset" in series, despite having "2" in title, it was rather building from the beginning foundation of the game (in fact the game was made in the way that it could be first contact with the series for anybody). And this attempt seemed to be successfull, due to a lot of satisfied players, who wanted more (hence Dungeons 3 :)).

So at this point GOG wasn't too interested (probably) about game with, well, "dubious" reputation and quality, and devs/publishers weren't too keen to put the first game on the table. Both sides had rather similar approach, so Dungeons 1 is not on GOG.

Apologies for not giving sources to those speculations, but I've read about the series long time ago.

Nevertheless, I can tell basing on myself that their approach on Dungeons 2 (and 3) was actually good, since I've highly enjoyed D2 and couldn't wait for release of third game in the series. Can't say that I like all new ideas, but it's still the continuation of game I like so much.

Although maybe some day I'll give a chance to first game on steam. Maybe.Would have more motivation with GOG release, but I guess that's not going to happen.

Just to add to this, I have the retail box for Dungeons 1 that does not use Steam, yet still uses the Kalypso Launcher DRM.

On top of that, the game is plagued with numerous technical issues. Crashes regularly, saves get corrupted if the mission goes on too long, bugs inside missions, quests not triggering, scripting errors etc. I was honestly surprised I even managed to finish it as it really tested my patience with having to constantly replay parts of it due to the save corruption. It's probably the worst game I've played from the technical side of things. And going by the reviews on Steam, many of these issues are still present. Shame as the gameplay itself was not that bad (very different from the following games).

But story-wise, it has almost nothing to do with the other 2 games, besides a very seldom reference from the narrator (like 2 or 3 in total).

I assume that the Dark Lord expansion has the same issues (haven't played it though) and has abysmal reviews on Steam on top of that.