There is no save game compatibility issue between Steam and GoG versions of Grim Dawn.
If customers read the product they were buying, then they wouldn’t shaft themselves.
From the GoG store page for Grim Dawn:
Multiplayer Notice: Please note that the GOG Galaxy Client is required to access Multiplayer
Multiplayer available only between GOG.com users.
Local Area Network (LAN) does not require the GOG Galaxy Client to access.