Yes it is possible, but takes some time.
The main idea is described here:
https://www.reddit.com/r/metro_exodus/comments/c0zb4d/my_crappy_guide_for_transferring_nonwindowsstore/
I had three "bigger" files with several MB from which two were autosaves from the final level. Then I had these many small files.
The small files are in fact so-called "player" files that are needed for chapter selection.
If you import your "big" autosave, you can continue were you left off, but you can not select the chapter again in the menu.
You need a structure as you can see in first attachment.
The small files when opened with a text-editor have a content like you can see in the second attachment. The files have a cryptic name but the content somewhere in the beginning (first lines always!) contains a text like "05_winter". You can spot that text. You can also see the text "player" in the file.
This is the indicator of the filename, so the file from the second attachment is the "m3_05_winter.player" file you can see in the first attachment. You have to add "m3_" before the text in the file and ".player" at the end.
I first loaded the big autosave file so that the continue button in the game continued where I left off from my Xbox Game Pass edition. Then I went through all small files, copied them to the savegame folder under the install path of the GOG version and renamed them from the content I spotted in the file when opened with texteditor.
This is how I was able to transfer my autosave from where I left off and enabled all chapter selections so that I can replay any chapter. I think this is the only way to completely transfer the saves from the Microsoft version. At least, continue worked and chapter selection worked.
Not very intuitively and took me about an hour until I had it, but it worked and as you can see in attachment 1, I already have dlc save now, too, which goes after the same naming scheme.
Good luck!
