It doesn't say the games will be kept if Steam goes under. In fact, they don't let you keep games if they're removed from Steam "for any reason"

> If a game is removed from your Steam account for any reason, such as through manual deletion or a refund – we reserve the right to remove the games from your GOG.com library. (see https://www.gog.com/connect#faq)

I'd say it's unclear at best how well you'll be protected, but at least you can download and backup the DRM free installers for use even if GOG pulls the games out of your library.