GOG made a brief effort to expand into movies almost a decade ago but stopped because the industry revolved around regional restrictions (they asked customers if they should keep going with regional restrictions and customers said no). There are some reginal restrictions on GOG and Bandcamp but nothing like would be necessary for the movie industry it sounds like. I don't know if focusing entirely on indie films would avoid this issue or if even they end up agreeing to regional restrictions.
Not sure, I would love to see it too. I bought some things on Vimeo over the years which does offer DRM-free downloads (if enabled, otherwise yt-dlp is your friend), but it's really just some indie and crowdfunded projects.
I guess the industry thinks pay-per-view platforms like Amazon, YouTube, etc. are good enough?