A number of reasons. Steam is always running on my machine, which means it automatically patches. This is usually a pretty big benefit - at least, when they're not dropping 9GB patches. Versus in game updaters, which only kick in when you start the game, it's typically actually a large plus. Usually means the game is up to date and I don't run into things like hundred megabyte patches when I load up the game to play, since they'd have been downloaded in the background. Now, clearly it didn't work out that way this time - but that wasn't exactly in the game's description.
Plus, they harp on quite a bit about being DRM free. Not having silly hoops to jump through is generally a good thing. But, Stardock sung that exact same song quite a bit. Turns out it was no DRM, but you have to register to patch, and the games really, really, really needed to be patched. Basically, instead of DRM on the game you got DRM on the patches and a half-baked game. It's made me very suspicious of any company that toots the no-DRM horn.
But the bottom line is that I don't really have any desire for another digital distribution method. I like Steam quite a bit, it works very well for me 99% of the time, and it's very convenient. I'm no more interested in GoG then I am in GFWL or D2D. It would just be another place I'd have to look to find a game, and I use steam as much as I do because I hate the disc version of 'find the software'. I'd rather not have a digital version of that.
It was "Buy on untested platform" vs "Buy on platform that's worked very well in the past." Didn't seem like a hard choice.
That said, I'm not exactly filled with confidence on any online service run by CDProjeckt just now. I tried to reinstall my retail copy of Witcher 1 while waiting on Witcher 2, go to install the patch to upgrade to the EE.....and couldn't, because the registration server for it is down, and you can't patch an unregistered retail version. As of now, the server is still not back up. A registration server being down for 2 weeks doesn't fill me with confidence on their ability to run a Digital Distribution platform.