No downside. Direct Connections and LAN play doesn't care about what platform you bought the game from.
I pick GoG for games that are sold on both because I like to have better control of what version of the game I am using and the ability to go back to a previous version if a new version ends up being problematic for me. I also like I get to keep an installer so if GoG ever goes down I still have the game regardless and can install anytime I want, Steam doesn't give us that option if Steam ever goes down.
