You found out part of the reason yourself when you couldn't find the saves for your Steam games. That isn't the fault of the games. It's the way Steam "manages" them.
You'll probably still have to search for the saves with a GOG game, but at least you'll know they're somewhere on your hard drive and not "out in the cloud" somewhere.
I just requested a refund for 2 of the games. But Steam is the only place I know of for The Last Half of Darkness series, so have to keep that one, I'm playing those now.
Yes, you'd need an older version of Windows to play the original disc versions of Last Half of Darkness. I'm still not sure if the "trilogy" version is on disc or not.