Why don't TR Legend, Anniversary and Underworld have achievements? There are achievements / trophies on the Xbox 360 and PS3 (probably every game on these consoles must have something to unlock).

And let me mention that the Xbox 360 version was released on the same day as the PC (April 7, 2006). So the developers could add these achievements on GOG.

Because the games never had any achievements on PC and to add them, company needs to dig up source code and write achiev. into it.
Since they're reluctunt to patch the game for newer OS, I assume it's not that easy to find the source code.
Old PC games like this were released on discs and didn't require any launcher to play (Steam / GFWLive / uPlay etc) so obviously they don't have achievements while all X360 games were played through XboxLive which is basically an OS for X360.