I have no idea what version of UFO we have, in Readme it says 1.2 and according to language it's European.

But I just checked the game with latest OpenXCom build and there are no proper footsteps on snow then I risked and download this update for CE version of UFO and the snow footsteps are back again!
http://www.strategycore.co.uk/files/polar-mcd-footstep-fix-ce-version/

Yeah. Game can be taken from some re-edition (Sold-Out Soft). Or it maybe just documentation. I think both variant happen for old games with GOG and\or Steam releases.

Hey, u sure that this bug not present in EU editions?

And major problem with GOG release - it not complete\not latest version. Windows version is ripped. Only Terror from the Deep have Windows latest patched exe (renamed unofficial executable file from that fan-site). In Steam both first X-com's have that _patched.exe launcher files. And Steam have both DOS and WIN game for first X-com's. GOG have only TftD but not create link to.

What bug?

I checked X-COM: UFO Defense aka UFO: Enemy Unknown from GOG store just a few days ago, it's a European version because the English is of UK region, and readme file states ver 1.2.

And there are definitely NO proper sounds for footsteps on the snow (polar maps): vanilla, vanilla with unofficial patch for OpenXCOM, OpenXCOM (both with or without unofficial patch).