Starmaker: You do actually have the license and a permanent right to "use" it. Since neither Chahi nor Olegdr are Americans, Olegdr can probably download the game off a torrent and legally play it (but not the GOG version, because the GOG installer contains GOG IP).
Elenarie: Not really. Say you haven't downloaded X game, and GOG goes out of business, you lose your license to that X game, and you cannot get it from another service. But, ye, technicalities and crap.
That's wrong. You don't lose a license because the intermediary went out of business. When you buy a game from GOG, you get access to the game content, which is the rightsholder's IP, and GOG's wrapper component, which may be GOG's IP (their signage certainly is). Once you have the license, no matter GOG's current status, you have the right to make copies of the game for your personal use.
Provided there are no laws preventing you from going to shady websites, you can download a copy from TPB -- the seeders would be (most likely, depending on jurisdiction) infringing the rightsholder's copyright because they don't have the right to distribute copies (even if you show an uploader your proof of purchase -- they just don't have the right to distribute copies fullstop) -- but you wouldn't be breaking any laws as long as you don't seed it back.
However, the license by itself doesn't actually oblige anyone to provide you with a playable copy. When you buy a game from GOG, you also get access to GOG's download services. If GOG goes under or revokes the services for aggravated tosbreaking, neither Steam nor the rightsholder have to provide download services, even if you don't have a backup copy.
Similarly, if you have a CEG game and Steam bans you, or goes under and fails to make good on the CEG removal promise, you still have the right to play the game if you can find a legal way to do it. For a typical steam crack, Americans would be boned by the anti-circumvention part of the DMCA and everyone else would be still technically breaking the warez group's copyright if they didn't release the crack into the public domain (crazy but true). GOG's installer is a no-no because it has GOG's IP in it. But if someone innounpacks GOG's IP out of a GOG installer, the end result will be perfectly okay to download, keep, and play for a Steam customer.