3 demos were made:

-a playable "tech demo" that has totally different level design, artwork, and even opening narration (spoken with American accent):
http://www.frictionalgames.com/site/penumbradownload

- traditional playable demos that show you early portions of the actual games, for Overture and Black Plague:
http://www.penumbragame.com/demo.php

These would be nice as bonus features for GOG, but maybe they don't have permission to offer them. So be sure to try them.

It would be better if the demo's aren't bonusitems but free trials as they are intended to be.
Though I doubt GOG will provide them as they have to keep up their name of making (old) games working on new systems and demo's are notoriously buggy.