You can add games to Steam to use proton so where they came from doesn’t matter. You can also use Proton forks and bypass steam altogether - much of the underlying tech is Wine; proton is a patched and optimised version of Wine not a stand alone Valve product. Its great what they’ve done but it is still a collaborative open source effort.
As for which store, I go on price and sometimes go with GOG even if more expensive because of DRM, and sometimes Steam because of the convenience of the workshop.
I don’t think it needs to be any more complex than that - these are company’s taking your money for the same product. Its kinda pointless being “loyal” to a retailer - its more important to focus on value for money and quality of service for each purchase.