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Because Steam provides just a store front, and the developers do all the work maintaining their code.
GOG for a lot of older PC games actually did the effort themselves to update them, package with DosBox, etc to get them working on newer systems. For those games the GOG version could work while the Steam version will require a number of manual steps on your side to work.
GOG doesn't do it for all games (so you need to check that) but in general for older PC games you are more likely to get a working version from GOG on initial install than Steam.