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

that's not "resolved", that's "worked around". The resolution is to remove the DRM (whichever stupid implementation it has)

This game currently has DRM, period. And gog.com should remove the game from their store until this situation is fixed.