You're correct in terms of buying a game here gets a GOG release of a game and not a Steam key, and that will probably never change.

Just want to note too though that there are a small number of games here in the GOG store that have come with Steam keys in the past because multiplayer was not functional, so Steam keys were provided by the publisher to allow people to have a way to play multiplayer. Anyone who owns ArmA, ArmA 2 for example should find Steam keys for these games on their game library page for them. There may be other games in the catalogue which do this also but I don't recall. It's rare and not to be expected by any measure, but there are some nonetheless. ;)

Update: Far Cry 2 also has Steam keys