Is Steam connected with other sites?

The steamsales website only tracks price changes on Steam (and the other sites). When you click on a link there it will send you to the steam store.

I guess you already figured this part out. The other sites (GOG, GMG, etc) all sell games themselves. You can buy it from there on their service and download it there. Some games require steam to work, so those sites will just give you a CD-key to redeem on steam.
The list of games redeemable on steam can be found here.

Although SGS does track sales for these sites, none of them are directly connected to Steam. You may be able to activate SOME of the keys you buy there on steam, but generally not. They are just included on SGS for completions sake, in case you want to find the best prices for a digital copy for your game, regardless of being on steam or not.

Additionally to the list in the post above me, there is a list of games from GamersGate that can be activated on steam, but that list is on the Steam forums which are currently unavailable.

each of these sites is competition to STEAM in some way ...
they are online distributions with various level of services or just e-shops with dowloads