Tbh, I actually don't have any problem with Steam's refund policy on games. Remember when you used to go to a shop to buy a PC game? You remember you were able to refund it back then as long as it was still wrapped in cellophane? But if you tore off the cellophane, you were stuffed. That game was now yours, permanently.
If you really really hated the game or it was a crock of toss and you want a refund, you'd have to go to the company that made the game not the distributor. A lot of hoo-ha about a pretty standard agreement between buyer and seller.
GOGs refund policy is purely publicity and it can really bite them in the arse if it's abused.