The intro of the mission is bugged. After Sanchez send away his minions, they all rush to their horses and once mounted, they just stand there forever. That look like a gog specific bug as I never experienced this on the cd version.

It is possible to skip the intro, but I'd like to have it working.

I'm playing on windows 10 20H2 with the gog galaxy version.

EDIT: It seems to be that the main stairs of the base are bugged, and one guy is stuck in it locking the intro cutscene. Characters walking up the stairs use it as a ladder, but can't go down. See screenshot

EDIT 2: I emailed the gog support, and they linked me to this post:
https://www.gog.com/forum/desperados_series/desperados_1_mission_10_appears_to_be_unfinishable/post2

According to support, and even thought it never happened to me, this game breaking bug had a chance to occur in the retail version aswell. The linked post shares a way to finish the mission the ugly way, you might also load a save from the previous mission and try your luck that way. It is a shame, I find this mission particularly well designed save for this dumb bug.