It also does that on any launcher.
Steam you click play and it launches.
EA Play click game and it launches.
GOG is absolutely no different to Steam or EA App..
I think what they were getting at is that GOG doesn't need to be running after you've bought and downloaded the game. You can launch the game exe directly.
EDIT: Also. Without being nerdy here but actually, those other launchers dont just "click play and it launches". A lot of other things occur before it does launch. On crap systems and internet that can take a looooong time.