/Users/Shared/GOG.com/…

Notably the web cache is in there which in itself is an additional issue of privacy.

I tried a simple search for "gog" in "/Library/" and that reveals three directories with filenames beginning with "com.gog.galaxy.…". I have no idea what else to search for and where, especially since the installer did not have a list of files it would install, unlike other standard install packages for Mac that do list the files they would install from the Installer menu "File > Show Files".