Are you actually downloading all the stuff from GoG locally?

To be fair, I do not, but I could if I wanted to, and that makes all the difference.

I only keep a copy of the games I enjoyed and I think I will replay and the ones that I plan to play, so - even if for any reason I don’t have access to the net or the service is down - I still can install them.
Someone could say that I could just install them directly, but I put them in a separate, slower, external HDD as installers and occupy my internal drives’ space only when needed.

The only reason I don’t backup them all is that I don’t see, personally, the point in having thousands of installers and tens of TiB of games I know I will not use ever again. But someone could just want to keep them all because they like archiving, or because they are into video game preservation efforts.
And again having the freedom to do so, the choice to do so, is all that really matters.

If GoG would go under suddenly, I don’t think a lot of people will have their library backed up

I would have the ones I cared about, and I’m pretty sure the whole of GoG’s library would suddenly appear in the net, easily accessible, for everyone. Again.
And I would not feel the least moral sting if someone was to retrieve from it a copy of what they’ve already paid, without the need to circumventing protections or modifying software that could be seen, in some jurisdictions, as illegal and without the risks connected to malware disguised as cracks, or the possibility of bugs involuntary introduced by the legit ones.

Point being that it is true that most people will not use the full extent of their freedom, because they don’t care of it or are not interested in it, but having that freedom is the point in itself.