It means the game is updated, which you can see by selecting "Updated" for showing your collection. You "exploit" that information by downloading the update, if you want. For Windows versions there are sometimes patches, Mac/Linux only get full downloads. Check the changelogs for what's updated, except developers have been increasingly not bothering to supply those and GOG doesn't seem to care, so there often is no easy way to see. You can try checking Steam for update information.

What post 2 says......ALSO i'd keep an older version of your games alongside the new ones as sometimes updates mess up some stuff or change things in various possibly undesirable ways(changing file structures for some games, changing some from dosbox to scummVM, etc).

Yeah, the dot means the game has been updated (you also have an option to just show the updated games, click on "my collection" and you get a small pulldown there). Not since you last downloaded it though, but since you last checked it, will clear that flag if you just just click on the game.
And if there is no changelog for that recent update check the updates thread for the game(s) in question and see if users managed to figure out what changed. Note that recent changes to DOSBox games tend to be the Mac version being changed to include the 64-bit DOSBox, Win and/or Linux remaining unchanged.

"Updated" only shows wich games have the blue dot.

Also, some games I haven't downloaded yet also have a blue dot left of their Title. Does that mean the game has been updated since I bought it ?

Call of Cthulhu: Shadow of the Comet had a blue dot but nothing appeared different from what I had already.
I finally found a difference. 'Prisoner of Ice.7z' is now 'setup_prisoner_of_ice_uk_2.0.0.1.exe'. I don't see that mentioned in the games changelog on the forum. So I should be able to find on Steam has changed ?

The blue dot is typically 'something new you haven't seen yet', be it recent posts replied to, or new downloads or patches..

Though in my view, i can't see it here...

Yes. That should make it clear what the blue dot means. Yes. Blue dot = update.

See my reply above. The "updated" flag is cleared when you click on the game in your library, so if it's there, it means it was set after you last did that. Doesn't matter whether you downloaded it or not, or did anything else.

As for what changed in Shadow of the Comet, quite sure it was that Mac change, see this list (may need to go look for it, as the link will likely put you on the wrong page, it's post 22791). (The old) GOGDB seems to agree, latest change was the Mac installer in October, while in July I think it was fixing a metadata bug, the language showing up as Italian until then when it indeed was English, you can find that info on the updates thread.

There's no rule regarding how to find what changed if there's no changelog posted, you basically have to start searching. See the updates thread, see the game forum if somebody dug it up, see if GOGDB caught it (didn't think the old one worked anymore actually, and the new one seems to make it next to impossible to track the changes of one particular game at the moment), see other stores or the actual game or developer site...
But there are also times like these when nothing actually changed for your platform, the update being for another platform, or times when GOG just changes something in the installer, or the metadata, and there's no actual change to the game at all.

But not necessarily for one's OS version....often the mac versions or windows versions alone get updated and everyone gets an update flag(well almost everyone, barring site bugs/etc).

Thank you everyone for the tips.

Finding out what has been updated requires looking around, perhaps even on Steam. Possibly the update is only for a different platform. If no record of a relevant difference can be found, then it's probably not worth downloading or installing anything again.