The biggest challenge with a non-Steam GMod 11 is multiplayer. Official servers use Steam authentication. Non-Steam versions use a different master server list or require you to connect directly via IP to "No-Steam" servers. These servers are becoming increasingly rare as the community has largely migrated to the official Steam version. Risks and Safety Warnings

Multiplayer: Thousands of active servers are available 24/7.

Portability: Non-Steam versions can often be run from a USB drive without needing a client login.