Why does Morrowind feel better starting it from the executable compared to launching through gog, or am I crazy?

You'd have to define 'feel better'. Could just be a delay in memory allocation or more resources in the background that causes a slight difference, as i doubt the game was given achievements or any way that the game would 'talk' back to the launcher.

"The GOG Galaxy Client and another process called the GOGGalaxyHelper appear to be using almost 0.5 GB of memory while downloading a game. Furthermore, on an older Intel Core 2 Duo computer, it appears to be using almost 50% of the total CPU during a download."

https://www.gog.com/wishlist/galaxy/reduce_memory_and_cpu_usage