IME, they put a barcode sticker on your boarding pass, indicating you've paid the exit tax (government tax, part of the taxes you pay with the ticket). You can't get this online with a non-Brazilian airline, so even if you do OLCI, you have to go to the counter to get the sticker. You can select seats in advance, doing online check-in, though.
If you exit the country, you can check the bags through and don't need to collect them at GRU. When you enter the country, you have to collect the bags and pass customs.