What would happen if i don't link them? What is the advantage to linking them? Still the same DRM free advantage with GOG?

If you don't connect you can't use GOG Connect to get GOG versions of games you own on Steam–that's it.

You're only "linking" the accounts with respect to GOG Connect -- linking your Steam account will not have any other effects on your GOG account, and won't have any effect on your Steam account whatsoever (it's one-way, in other words).

Your Soul will be drained away by lord gaben if you dont link up

Yes,I do.No tricks,no gimmicks and no big deal to me to not connect.

You seem to be worried about this too much. There's no "Link" beyond you telling GOG who you are on Steam (by means of the Steam API) and as a result them being able to read out which games you own on your profile. Steam is not involved, this is just a freely available thing Valve allows 3rd parties to use to identify Steam users, there's no hooks attached.

All GOG connect does is run a check list of your steam library (which is public information) vs Your GOG library plus the list GOG provides it and if any match, it "gifts" the games to your account (but only if you a) own them on Steam and b) DONT own them on GOG) , the check is only done when you ask it too, GOG and Valve remain separate companies and only the game publishers decide if this is allowed or not.

Hence why support seems to be so once and a while for it and usually during sales it seems.