I am not sure about Windows, but the Linux version comes as an executable, you don't have to install anything. And with Mac I suppose it's just an .app package. Besides, you can use the itch.io app the same way you use GOG's Galaxy client.
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That's how all DRM-free storefronts operate, be it GOG, itch or humble store (for DRM-free games). :) You'll get a link and download the version that you want. For me vendor independence and lack of digital handcuffs go hand in hand, but I can understand if you want to have your entire library accessible on a single website for convenience's sake.