It's optional and basically just says they aren't affiliated with Steam or Steamworks and blah blah blah not going to use your information to sell to Nigerian bankers.

Nothing shady.

I'm not sure about Gog Galaxy but I only found this out because I get regular emails from GOG about changes to agreements and stuff. I have bought a few games off them but not installed their client yet because I think I have enough already with Uplay, Origin, and Steam.

Ya it's nothing bad, it is just some stuff added for the GOG connect feature that allows them to hand out DRM free copies of games you own on Steam by linking your Steam account (when games are made available).  It is just there to show they are not collecting information and are just looking at the game library to confirm you own the game.  If you have your Steam account set to private though then they can't do this.

Only select ones. I think GoG has to talk with the devs/publisher first and get them to agree.