Calzifer: There is a possible workaround for Windows.

First start settings.exe and change the language back to english if another language is currently selected.

Then open the registry (win + r -> regedit) and navigate to the game entry.

Shadow of Chernobyl: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\GOG.com\Games\1207660573
Call of Pripyat: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\GOG.com\Games\1207660583
Clear Sky: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\GOG.com\Games\1207660603

Note: for 32bit Windows just skip the Wow6432Node part.

Search the value for PATH. If it's not ending with a backslash add one.
e.g. "C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl" must be changed to "C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\"

Now you can change the language with settings.exe as intended.

Splatsch: Here is what GOG support advised me (and it's an easy solution too) if you want another way to switch languages : switching localization file manually.
I'll show the french example :) (almost copy-past from their answer, and it's working perfectly well)

1) Navigate to your game's French localisation directory. By default, this should be:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\Localization\Fr

2) Now locate the "gamedata.db9" file, and copy it directly into the game's main directory overwriting the file currently present:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\

3) If you ever want to go back to English, make sure to back up the original gamedata.db9 file before the manipulation.

Splatsch: Here is what GOG support advised me (and it's an easy solution too) if you want another way to switch languages : switching localization file manually.
I'll show the french example :) (almost copy-past from their answer, and it's working perfectly well)

1) Navigate to your game's French localisation directory. By default, this should be:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\Localization\Fr

2) Now locate the "gamedata.db9" file, and copy it directly into the game's main directory overwriting the file currently present:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\

3) If you ever want to go back to English, make sure to back up the original gamedata.db9 file before the manipulation.

Mirefox1: Gracias me funciono muy bien

Splatsch: Here is what GOG support advised me (and it's an easy solution too) if you want another way to switch languages : switching localization file manually.
I'll show the french example :) (almost copy-past from their answer, and it's working perfectly well)

1) Navigate to your game's French localisation directory. By default, this should be:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\Localization\Fr

2) Now locate the "gamedata.db9" file, and copy it directly into the game's main directory overwriting the file currently present:
C:\GOG Games\S.T.A.L.K.E.R. Shadow of Chernobyl\

3) If you ever want to go back to English, make sure to back up the original gamedata.db9 file before the manipulation.