Yes. It's very easy. There's really two ways to do it. You can actually open Steam and add non-steam games to steam if you want it all in the same place. Otherwise you can use something like Lutris, which is what I do. That gives you a nice place for everything also and you can even load your Steam games on. But yes you can absolutely use GOG stuff and exe files.

So, I don't know off the top of my head, but I need to figure it out as well because I have plenty of game installers that I'll want to use eventually. Lots in my GOG account, others from 20 years ago with sources lost to time, lol.

I would expect that Steam could be used as a launcher, but I know there is also an app called Lutris for managing games and compatibility layers and such.

I'm thinking about it, and yeah I may have not yet installed a windows version of a game outside of Steam at all. Honestly I have most often installed Linux native versions via steam.