I've bought the game because it is advertised as a coop.

I have now an online account with ubisoft but I still see no option to host or anything like that.

Has anyone managed to make this work?

The base game doesn't show a multiplayer menu for me either but if you play the expension (Venice) you should see one.

Does anyone know how to launch Venice from GOG Galaxy 2? I have 0 clue

I do not use galaxy but to launch Venice, go to the folder where you have installed Anno 1404. You'll see a file named addon.exe. Double click on it and it should launch the game. You can also right click on it and choose the option send a shortcut to your desktop.