Gog.com games ARE NOT region filtered. NEVER.
Not quite true. While GOG.com games aren't region filtered, per se, oftentimes the games are localised versions, and may contain any changes, censorship etc. that came with said localised versions. The GOG.com version of Fallout, for example, is the UK version. You need to apply patches to get it to display children properly, and there are some minor differences in language (mostly drug references). Is it "region filtered"? Not really, but it is a specific version of the game and players should be aware that they're not always getting the "perfect" release.
I imagine this usually has to do with licensing (maybe the publishers don't want to release the slightly more controversial version worldwide), or simply what they happen to have lying around. For instance, the Canadian release of the Fallout Trilogy (boxed version) comes with the UK version of Fallout as well. Maybe that's just what Interplay have decided is the "final" version of the game, or maybe they don't even have the original US version anymore. At least in cases of censorship (some more severe than others) there are almost always fan-made patches to fix this.