GOG and Steam versions are almost the same, when you will install 95RPP and delete unnecessary files the differences became even smaller.
GOG has updated their DOSBox configurator, when Steam include an older version, which not working by default, but can be enabled with 95RPP.
This is the biggest difference, other thing is that Steam allow to use Steam overlay, when GOG doesn't offer such feature.
If you don't like Steam overlay you may just start the game directly from outside the Steam and it will launch same way as GOG version.
So basically if you want updated GOG DOSBox tool select GOG version, when you like Steam client select Steam version, but in both cases install 95RPP ;).
Edit: 95RPP work with GOG or Steam version (can't be installed to both at same time) and replace GOG 95 patch.