molerat: There are plenty of good reasons not to do this, biggest I can see is the wall of shame factor mentioned above annoying the rights holders for said titles.
Some of them, I'm sure, are petty enough that they would remove the rest of their games over the slight.
Also, there's something else to consider. Look at how long it takes GOG's coders to make much of any change to the site or to Galaxy. Now consider the fact that that the pages were designed solely to have a dollar amount attached to them for the purpose of sale. It was probably never even envisioned that the page would have anything else there.
If they wanted to do this they would probably have to redesign a bunch of database stuff to give the option of having a "not for sale" type entry in the dollar amount, and redesign the store page template to properly reflect that option. All the while they'd have to make sure that they didn't break anything else.
That last part is the big one.
If they fuck up the store page for games they actually do sell, then that's lost sales because of people unable to properly use the now broken page to make a purchase. if even 1% of those lost sales don't come back when its fixed, that's wasted profit for GOG.
And its not just a matter of changing one thing. If you just change that one thing you'll also have to go into the coding and make sure anything else that relies on that one thing can cope with the change, and change it if it can't, and then possibly go further in and change whatever relies on the new thing that's been changed.
All of this just to have a "Not for sale, sorry" entry for games they used to sell.
And then what, would you include these items in searches too? How else would someone who doesn't' already have the game find these no longer for sale games if not by using the search function? More importantly, why would GOG, whose sole reason for existence is to sell stuff, waste valuable search real estate on a product they cannot possibly make a sale from?
I can't see any way in which this would not cause more trouble than any added value it may have.
As I suggested in my post, they should just de-list such game pages: no finding them listed in the "Games" page, no having them appear as results when searching in the drop-down search bar; the store pages would be accessible only via a direct link (which would mean that people could probably still find the page by googling "[name of game] GOG" or similar, but nothing to be done about that).
This should be relatively painless for the staff to effect -- there is at least one publicly available item in the catalog that is already unindexed in this manner, so clearly that part's not an issue. No idea about the difficulty of implementing the rest of my idea, though.