Games for Windows Live has caused a number of headaches since Microsoft began shutting things down in 2013. Developers have had to patch the platform out of their games to keep them running properly, including the Batman: Arkham series and Dark Souls. GTA4 has had its own problems, prompting gamers to develop workarounds to keep the game running smoothly.
There may be relief in sight. Rockstar said it was "looking at other options" for offering GTA4 on PCs, and planned to share more "as soon as [it] can." Until, then, though, the withdrawal is a textbook example of why games shouldn't be tied too closely to an outside platform. If that platform holder bows out for any reason, the game might suddenly lose a lot of its functionality. And when these shutdowns tend to happen long after the developers moved on, fixing that functionality could be a painful process.