Is it a Plugin Problem, that the Subway to Sally Credits song wont play at my Thief 2 gog Version?
Had the same Problem with my Quake Version of gog (Nine Inch Nails Theme was missing)

I may be wrong, but isn't that only in the German version ?

yeah could be. I owned the german Version but Somhow no music is playing at the credits. Its just showing the credits with no sound... Looks theres something wrong to me

It is wrong indeed, for the Credits video should have music, even though, in the english version, it's not this song you mentioned.

Do you have sound if you read MOVIES\CREDITS.AVI using whichever your favourite video player is?
If not, well, that's probably part of the problem, and until you get it fixed, you should be able to find the video with sound on youtube (for example here : https://www.youtube.com/watch?v=rEa8mnbyYiM ).