h.e.X.e.n.: but they have the serial number\ key of my copy right?
real.geizterfahr: Wrong. Your installer is the same installer that everyone on GOG gets. Nobody could idetify "your" installer. Not having shit attached to your games is exactly what DRM free means.
Watermaking files isn't such a weird concept, and often a quite decent way of making files identifiable while not restricting use (which DRM does).
GOG doesn't use such a system (yet), but some stores selling DRM-free music does, meaning you can do whatever you want with the files and don't require an authenticated player to read them, but the seller can still get the unique identifier find out that they came from your account, and thus recognise that the copy off a pirate site originated from you.
I could see GOG adopting watermarking in order to limit piracy, if it could be implemented in such a way that the installers wouldn't need to be completely rebuilt for every user (which takes time and drive space). My first thought would be to attach a few bytes with a number identifying the account to the end of the file (or change bytes at a certain location that is predefined as not actually used), which could be done dynamically and quickly when the download is requested. There is one main problem though, checksums would need to be calculated for every file and every account that has said file, rather than one single checksum for each file, and in cases where the installer checks itself (primarily multi-file installers), the sum it checks against would obviously need to be changed.