Maybe I am just blind, but it appears that the GOG version of Ultima 5 is missing the "Journal of Lord British" which would be one of the Lorebooks for the game. I am not positive whether you need that for the game or just an optional side quest since I haven't beaten U5 yet-- but I wanted to flag this as an issue in case other sees this as well, and perhaps GOG can find the missing manual...

Or is it in one of the ZIPs and I just cannot find it?

If it isn't in one of the zips I would contact support about it. I don't have Ultima 5 so i can't check if it's actually included though.

I think that was part of the lore for Ultima 5: Lazarus, a fan-made remake. Or do you mean something different?