I'm thinking specifically of level sharing and leaderboard type stuff. I don't know how that will be handled, but in the past some Steam games did stuff through Steam that GOG wasn't able to match, such as the daily challenge in Spelunky. I don't care about any of that PayDay stuff.

I would much prefer to buy from GOG but obviously don't want to lose features.

Maybe they will implement something with Galaxy, but this is the exceptional case I bought a steam key instead of a GOG's one. Besides, the Steam version is DRM-Free to once downloaded and you can get it at almost half retail price at Nuveem, so no matter I prefer GOG, I went with Steam this time ;)