They are probably only added when you purchase the new release of Fallouts (or other Bethesda games). If you have the older releases, named "Classic" in your library, you won't get GOG versions of Arena & Daggerfall.
But fear not - both are available for free directly at Elder Scrolls official site:
http://www.elderscrolls.com/arena/
http://www.elderscrolls.com/daggerfall/
You'd have to setup DosBox yourself, which is not that hard really. The only difference is that the free version of Arena at TES site is the floppy version, and as far as I know the GOG version is a CD version, so the former probably lacks some stuff (like sounds, or movies, not sure). You can also find fan-made installers on the web, which automatically configure DosBox and install fan patches, fixes & quests.