Skess01: I found them useful because although they always came from GOG they were different links from the ones related to the game on the official site (I assume they were on different GOG servers), they could for example be useful in case of problems with the integrity of a file.
They should be exactly the same files. Maybe you're comparing the redirect URL, ending with /en1installer0 for example, with the fully expanded URL, ending with the actual filename. I just tested a few games in my library and the links are the same.
Skess01: For messages from those who believed they were available to everyone, you could write a default message on the download page specifying that you must have purchased the game and be logged into GOG to download them.
However I understand that to avoid any kind of problem it's better to let GOG fully manage the downloads.
Technically I could add a message, but think of the A E S T H E T I C S. Seriously, it wouldn't look good and also the downloads are no longer separated into files in the new design, so that's another reason it wouldn't work. Sorry that you liked the feature, but it's not coming back :(.