This is not advice - just my understanding. Pls check w yr township inspector b4 taking it:
The lights don't need to be on a gfci.
They don't have to be, but IMHO are better on a separate circuit from the gfci outlets in the room. That way, if the gfci trips, you can still see what yr doing while you reset or inspect.
The shower light does require a wet-location fixture. That means a gasketed faceplate in the recessed can. If your shower is a steam shower, then you should make that fixture a vapor proof fixture, which means either swapping out the can for a fully sealed fixture, or finding an approved way to achieve a v-proof seal between the faceplate and the ceiling.