...couldn't you just add the game to your Steam library if your only hang up is having it in the client?
Okay this argument has been made a bazillion times by Steam people to non-Steam people over and over, but it's more complicated than that.
I like knowing that I could go to a completely different computer or upgrade or reformat or whatever and just download all my games from one place. Not having to download this game from GOG and that one from Gamersgate and the other from Amazon and then some from Greenman, Gamestop, Gamefly and then some from Groupees, Indie Gala, Humble, GetGameGo, Shiny Loot, Fireflower, Beamdog and then some directly from some devs and 'where did I get that one from again?' etc. Then going in and adding all the shortcuts.
It's just piece of mind for me to know that (almost) everything is tied to one account on their server and I can re-access that any time, from anywhere. The shortcut is like a cheap band aid but it's not the same thing. Also Steam has been known to forget those manually added shortcuts sometimes.
I admittedly buy way, way too much shit from far too many different sources, but be that as it may, it saves my sanity to just have everything on some cloud somewhere where I can just login and fuggedaboutit.
Once in a while I make an exception if it's something I
really want and I can't get it on Steam (or Desura, or I guess Uplay or Origin grumblegrumble) but I just can't make a habit out of it or I would lose track.
As for this whole Jade Empire doesn't work on Steam thing well that's funny because I got it to work for me and I don't recall having these major problems people are reporting. Even with games that I did I've pretty much always been able to find a solution or work around by spending a little time reading the Steam community forums. It's really not as bad as some people want to make out.
Meanwhile there have also been some cases of people reporting having issues getting games on GOG to run so that's not necessarily 100% either.