Steam is easier for me to access because I have all my games there already.

You can add external games within Steam if you click on the + button in your library (lower left corner).
If you click there you see an additional option for this.

If your question is how you could add your gog game to your steam account (like if you bought it there) - this isn't possible at the moment. You can only redeem your steam games on gog (if they are part of GOG connect) not vice versa.

It should be on the main page with the 56px font size: NO STEAM KEYS FOR GAMES, USAGE ONLY WITH GOG CLIENT.

Can I refund the purchase?)

It'll be hard if the game is working without any problems. GOG's refund program is intended for people who have problems running the game and the support isn't able to help them. You can always try to contact them though: https://support.gog.com/hc/en-us.