I would report that in the page of this game, only singleplayer mode is specified. But, as stated in the support page, the GoG installer has an option to install a multiplayer version of the game.

I guess because XMP is a free addon its not listed but that sounds strange because I know with the retail version (I have difficulty buying games twice so I don't have the gog version) it was no problem.

That would be my guess because you can download XMP anywhere or I think there is a version for ut2004 that is probably better.