A fundamental question about the gradient descent equation
You are looking for a local minimum, instead of a global minimum value.

The local minimum has $\frac{dL}{dW} = 0$, there is no direction of $W$ in which you can further reduce the loss.

If you are near the local minimum, you want to take small steps, not to 'overshoot'. If you are further away, you can take larger steps to speed up things, because you do have an idea about the direction of the minimum, namely the gradient.