Which Divinity games?
I do have Divinity 2: Director's Cut on Steam. I was bored, so I checked the Steam-version out - and actually downloaded it. Granted, you'll have to download it first from Steam, obviously - so you'll need Steam to at least do that much.
But just so you know, that game can be booted from the game-folder w/out Steam running - and it will NOT force the Steam client-program to boot; since it does NOT come equipped w/ Steam's CEG (DRM). No surprise really, given how Larian is often anti-DRM and speaks against it so frequently.
And Div 2: DC Steam-version was saving somewhere locally on my HDD, when I did a save - I just don't know exactly where! Something I should look into.
I can't speak on Steam-versions of Divine Divinity + Beyond Divinity, though.
I don't know if those come w/ CEG or not - maybe someone else who has them on Steam could actually test it and answer that question? (i.e. close Steam out; go to game folder; run game's EXE; see if Steam client-program boots-up).
I have DD from Retail (before Remastered Ed's came out); and DD Remastered Ed's on GameStop PC Download + GoG.
And I also have BD from Retail + GreenManGaming (it was FREE on GMG once).
The real reason to get any of the Divinity games on GoG is - you know you'll for sure get them DRM-FREE and also whatever extras + goodies GoG is giving away.
If you feel so inclined - you could add those EXE's as Non-Steam games onto Steam, if you so desire.
(I do this w/ most Non-Steam games, since I live on Steam).
The reason you'd want Divinity games on Steam is - if the games support any of the typical Steam benefits (game time tracking; Steam Achievements if supported; Steam Cloud support if it supported; etc etc). Worth checking each game's page on Steam, to see what is supported there.
Might be worth checking into, to see which way you think you should go here.
I need Divine and Beyond (already have II). The Gog extras are nice and for some reason it just seems right to own the classics on Gog for purists sake. My version of II is Steam though so maybe I want the whole collection there. I don't know. If I wait until the sale is over then I won't have to decide.