I've read the description and am not completley certain of what gogconnect is. I understand it shows your steam games in your gog library. But does it also mean you have the DRM free version of the game in your library?
I'm waiting for: Fallout3, FalloutNV, Morrowind and Oblivion to import from my steam library. Once this has happened, will I be able to download the games DRM free from the GOG website? Or will it just show up that I own them in my GOG library?

Yes, you get GOG releases of those games. You can't get a GOG release of a game that isn't on GOG, since a GOG release does not exist. And even then, not all games that are on GOG are eligible, it's up to each publisher whether or not to make the games available, and when they do, it's for a limited time.

GOG will not automatically give you the GOG release of the eligible games you have on Steam, you have to make that choice, and before you do, the game will not show as owned in the store (since you don't yet own it from GOG).

There are currently no games eligible for Gog Connect, and I highly doubt any of the newly released Bethesda games will appear there any time soon (or possibly ever).

First of all, there's a FAQ section at the bottom of the Connect page; that should explain most of what you need to know.
As others have said, no games are currently available through the Connect program.

Regarding your last question: You have to tell GOG to import any available games that you want imported through Connect. Any imported games will show up in your GOG library (obviously, since you couldn't download them if they didn't), but won't download or install automatically -- that you'll have to do yourself, either via browser downloads, or Galaxy. But, again, none of the newly released Bethesda games will be imported, because they're not offered.