There are several reasons:
1 - I estimate maybe 5% of all players know what VPN is
2 - Unless you already have access to a VPN server in the target country, you need either to buy one or find something free (and I am not sure how trustworthy are these)
3- You need to find a shop or play with proxy Steam accounts
4 - The key needs to be region free

Compared to that, buying in a dedicated key shop is much easier. That's what I do,

I like the first reason ))

Yeah, I'm not suggesting to use VPN and cheat, I buy games directly from shops as well. Just wondering.

And again this mentioning of Steam. Just want to make myself clear, I didn't mean Steam when I started this conversation, only GOG. But thinking again, if one would like to cheat, it'd probably be much easier to use TPB + antivirus than dealing with all this spooky VPN stuff.

GOG keys are a pretty new concept - I think Witcher3 is the first game for which I saw GOG keys in the keyshops. So we will see how that works out.
All in all, I think it is good that they showed up, because if I could choose, I would rather buy a GOG key than a Steam key if the prices were comparable. (one reason I ended up with Steam version of Pillars was that Steam key was 50% cheaper than Pillars on GOG)

Yeah, Steam sales are very attractive, that was the reason why I'd waited for a long time before switching to GOG. Now I wouldn't buy a Steam license (yes, a license, not a game) even if it was 50% cheaper. I'd probably wait for sale on GOG.