You are correct. Being on steam doesn't necessarily mean that a game has DRM. It's up to a game developer to implement steam's DRM or not. Check out the big list of DRM-free steam games:
GoG also provides prebuilt DOSboxes and configurations to allow me to easily run older games, and games on Linux (I only use Linux at home, so that's a big win).
I'm not a fan of Steam, so that's not a real alternative for me.
I often run games outside of steam so I can let my bf use steam family share at the same time.