There was a cdkey checkup for online play, so we can play online in the GOG release?

I would hope so. Last I checked, they were handing out CD keys for playing Sacrifice in multiplayer mode individually, on request through support emails. For a primarily multiplayer game such as either UT, this wouldn't really cut it, it needs some sort of automation.
There's a forum upgrade coming soon, maybe they'll add this functionality during that.

I would like to know too.

So far so good, tried a few servers and no cdkey check thingie popped up. Maybe there's a embedded key in the installer ?

The CDKey is stocked in the registry, so yep.

That's werid. I've been playing the GOG version since it came out and I've never had that