GFWL games are tied to the GFWL service. Whether you buy it on Steam or the GFWL Marketplace, you're going to have to use GFWL. Buying on Steam just means that GFWL AND Steam required.
For example, I have Dirt 3 on Steam. With a game like Dirt 3, whether you bought it on Steam or GFWL doesn't matter since you're forced to use GFWL anyways. Launching it starts the Steam overlay giving me access to friends, screenshots and the web browser. It also launches GFWL because it's a GFWL game. GFWL itself has it's own friend's list, marketplace, etc.