Hello, I have an issue with offline installer. It claims that file part 39 could not be located in installer folder even though I have all files in one folder. Does the same thing whether I try to load install from external drive or directly from desktop drive. I even downloaded same file more times in case the file was corrupted but to no avail.

Is there a solution except from downloading the whole thing in one piece via GOG Galaxy?

Turns out you are right and I was blind af :) Yes, that was indeed the issue, correct installer version helped.

Can someone at GSC have some common sense and replace the 42 install files for a single one?

I certainly hope that GOG has enough common sense to NOT replace the 42 files with one humongous ~150 GB file.
Many people wouldn't be even able to download it in one go due to their connection being slow and getting interrupted.
Having the installer split into multiple files is a very reasonable and NEEDED compromise.
That said, maybe it doesn't need to be 42 files, but 21 would suffice.

Both options could work, yes, no reason being against that.

Just regarding download manager helping with interrupted downloads - that depends on whether the server you are downloading from supports resuming interrupted downloads (and if it does, any browser can resume interrupted downloads if you notice the problem and click on the download to resume before the session expires on the server).
But i would expect GOG servers to already support resuming - after all, it would only save them traffic, so there is hardly any meaningful reason not to.