Darvond: Here, I'll give you a few hints as to why GoG stopped using DMG:
"proprietary disk image formats", "Apple has not released any documentation on the format", and "reverse engineering".
Wouldn't that be the same reason to not use PKG?
I'd be fine with any simple compression. How about just ZIP? Or that new one, is it ".xz"? It's just an application, or a folder of stuff with the application.
I like it when an application is self-contained, neither an installer or uninstaller is ever needed. Of course, that also requires the application to behave and not write files elsewhere, like those ridiculous dot files in the home directory. Seems to me game applications ought to be able to restrain themselves.