Yep, I can confirm the problem with the game apparently not running (no splash screen, game doesn't start) but cheking in task manager I found XRay running in background and I have to kill it manually because if I continue to launch the game more and more XRay instances are created.
I didn't know about OpenXRay, and it's nice that this option exists.
Anyway, my solution was simple: as I wanted a some more pleasant experience than the vanilla game, I search an installed a suitable mod (ARB mod). This solved the issue for me.
Curios about it, I look inside the mod and found many readme files (the mod itself is a carefully selected and balanced collection of other smaller mods). I see that
it contains an unoffical patch for the XRay/game engine (Unofficial patch: Call of Pripyat 2.0). It also overhauls the graphic/audio compartment of the game and more while preserving the story and the spirit of the original, vanilla game.
Maybe this unofficial patch is not included in the GOG release.
If you are interested in the ARB mod you can find it here:
https://www.nexusmods.com/stalkercallofpripyat/mods/283