I'm confused. Is this still relevant with the official multiplayer stuff lost to time? And shouldn't it pull the key automatically from your install?
In reverse order:
2, yes, it does, but the GOG installer uses a default CD-Key and thus without getting a unique one you'll share a CD key with thousands of people. That's why you need to request one specifically.
1, it's relevant in some cases.
You do NOT need a unique CD key to play single player modules.
You do NOT need a unique CD key to play a multiplayer module with friends.
You DO need a unique CD key to play on online worlds. This is because these worlds have their own security systems tying your account name, CD key, and other information together.
I'm not sure what you mean by "official multiplayer stuff" in this context -- everything you could do 10 years ago multiplayer wise you can still do now.