GD has long since had crossplay between Steam and GoG, you don’t both need to be on Steam
the issue can however be with the way GD goes through it, which is ex why there is a mention of it not liking layered? networks like if you’re on a college campus under multiple routers and switches
did you try check the portforwarding
or if UPnP is on/off?
*there is a network test in game options, which might shed light to some issues, like if it claims your IP is “mismatching”