You can do that, but some of the features only work if you launch the game through Galaxy. Cloud saves only work that way. Some games need it for online matchmaking or leaderboards. It handles updates. If you care about achievements or statistics you won’t get any of those without Galaxy.
Just downloading the game from the website is usually good enough for actual old games, but it’s just a second class experience for most newer games. That bothers some people more than others. I’m mostly just annoyed by the principle of the thing, really.