Could you please list which files are on each of the four discs?

Well, the files certainly shouldn't be named like that.
Could you tell me where it was bought? There might be a problem with a whole batch.
In the meantime you can use the GOG code found in the box and claim your free digital copy.

EDIT:

Alternatively, you may try renaming the files but to do that you'll have to copy them to HDD (all to the same folder)
Rename them as follows:

Disc1:
SETUP-TH.EXE -> SETUP-TH.EXE
SETUP-TH.BIN -> SETUP-TH-1.BIN
SETUP-T2.BIN -> SETUP-TH-2.BIN

Disc2:
SETUP-TH.BIN -> SETUP-TH-3.BIN
SETUP-T2.BIN -> SETUP-TH-4.BIN

Disc3:
SETUP-TH.BIN -> SETUP-TH-5.BIN
SETUP-T2.BIN -> SETUP-TH-6.BIN

Disc4:
SETUP-TH.BIN -> SETUP-TH-7.BIN
SETUP-T2.BIN -> SETUP-TH-8.BIN

OR if there is only one .bin on Disc3&4:

Disc3:
SETUP-TH.BIN -> SETUP-TH-5.BIN

Disc4:
SETUP-TH.BIN -> SETUP-TH-6.BIN

Basically, the setup looks for .bin files named exactly like itself but with -# at the end.
So if there are more .bin files on the discs, just increase the digit accordingly.

Please do. It looks like a widespread issue.

Let's wait for the installation to finish ;)

While restarting helps in 95% of cases, I wouldn't think it could help here. But if it does, even better :). It's certainly easier than copying the contents of 4 DVDs to HDD.

Could I ask all of you with similar problems to send a DXDIAG to our Support, preferably with an information where the game has been bought?

We will try to confirm whether it is hardware related (like drive not reading filenames properly) or has the batch of discs been badly manufactured.