They are assuming of course, that Steam will not let you activate the game.
Basically, Steam has two forms of IP restrictions:
1 - On activation: Some games can only be activated on Steam from certain regions, if you are not in one of those regions, and error message will be displayed and the key will not be added to your Steam account.
2 - On launch: Some games, once activated on Steam, can only be played in specific regions. If you find yourself in a blocked region, even when you have successfully added the key to Steam, you will not be able to launch the game. An error message *may* be displayed or the game may simply not be shown as installed in your games list (with no option to install or play - even if you have installed it successfully in the past while in a supported region).
GamersGate can offer a refund in the case of 1 as the key is still available for use by someone else. But they cannot issue a refund in the case of 2 as Valve will refuse to remove the key from your account. Thus, as you technically still own the product, GamersGate cannot return your money.
It's unfair, I know, and it's also directly the fault of Valve in SOME situations for failing to block activation in regions where they are blocking the ability to launch. But sadly, that's the risk you take with Steamworks titles.