I've installed the game with the offline installer and when I start it, I just get a message box:

"The game has been started outside of any known PC store.

Please ensure you have a valid license to play this game.
The game will now close."

I've been disappointed in GOG before, but this is something new.

Same issue for me. I did not expect this and unsure whether to refund or not (will look at the game's files and google). I would have purchased on Steam if I wanted DRM.

Resolved - the .exe needed the "-PCStore=GOG" parameter, like

"D:\Games\Caravan SandWitch\CaravanSandWitch.exe" -PCStore=GOG