gnarbrag: Steam versions of games may include DRM which will hurt performance. Exactly how much depends on the type of DRM used. One of the reasons why gog.com is getting my money but Steam isn't
Steam versions of games don't include DRM, unless you consider Steam integration itself "DRM" - i.e. achievement systems and overlays. It usually only prevents running games that have an online component or a similar system dependency in the first place.
Either way I noticed no slowdowns between GOG and Steam releases of games that I got here so far, barring the occasional delay until either side catches up to the latest game version released by the developers, depending on which platform the devs give priority to. However, it is possible for Steam games to slow down if you disable the background downloads prevention option and have some other game installing or updating while you play, because of the disk read/write operations and performance overhead for active downloads.