Unlike what it says on the store page, the game lacks achievements. Please include the same ones as on the Steam version.

Just got the game and achievements are there now. Some of witch have been unlocked by players. So iz all good now.

For me they don't unlock at all. And just to check if it's something on my side I launched hollow knight and had no problem unlocking that game's achievements.
Edit: Strange, launched gog galaxy normally (instead of right click launch as administrator) and Mordheim achieves started popping.

I confirm I got some unlocked too.