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I saw that the Steam version of the game has achievements, so I would like it implemented in the GOG version as well.

I'm writing here because I couldn't find a game-specific forum.
It's just a theory, but that probably didn't happen because, despite the Steam version has achievements, they are all broken, whoever unlocked them used some kind of cheat.

As Nicalis hasn't solved this problem in the Steam version yet, it wouldn't make sense for other versions to have the feature. Perhaps, after the issue is resolved on Steam, they will update this version, mainly because Cave Story has this feature on GOG.
Vixe! So better not have it. Worse than not having achievements, it's a game with useless achievements.