These windows appeared after Steam pioneered them and most of them require contacting support which can literally take hours if you're not from US (if you can even get it).
Haven't tried with GoG though, never needed it there.
And as another person (and if my own memory serves) mentioned, Steam's move was nearly entirely driven by pending lawsuits.
Don't get me wrong, I primarily use Steam and support them because they're the only company really caring about Linux, but I don't think they can be given the credit for pioneering the current refund landscape.
Haven't tried with GoG though, never needed it there.