THE BEST METHOD to run PSX games (and everything else for that matter) is via Retroarch - http://buildbot.libretro.com/nightly/
If you have any questions on how to set it up on Windows please feel free to ask, its very easy.
That is a completely opinionated idea of better. DRM isn't the end of the world, it's a way to stop piracy(which a lot of GOG copies are passed around on pirating sites these days). Steam is also extremely convienent for the end user, while being a easy platform for developers to open their products up to a extremely large consumer base.
Half of your reasons it's better are why it's used for pirating or selling bootleg copies in countries like Turkey.
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