You can directly download- you don't have to use their downloader.
See the Gog downloader mode- notice how mine is off? If you click with it off, it downloads directly. I don't think it supports other speed up programs (especially those that download over multiple threads), but you can download directly.
Well, yes and no. If you live on the other side of the pond or have really high speed internet service it isn't a problem. But where I'm at, out in the middle of nowhere with satellite internet, I keep getting dropped packets and timeouts. When you start the download you only have so many minutes (10 I think) before the URL ceases to work. Then you have to re-start your download with a new URL. This is to prevent people from sharing the download URL with their buddies. Because of threshold limitations, the only time I can download without using up my limit is between midnight and 6 AM when it don't cost me, so I can't just sit around renewing the URL every time the download stops for more than 10 minutes. If I don't get my beauty sleep I can get quite ugly.