I can't answer why gog decided to make it a tarball.
To create a menu/desktop item, the easiest is to just copy from another game. For example:
cat >gog_com-Observer_1.desktop <<EOF
Replace /path/to/gog_observer with the full path to the untarred gog_observer directory. If the path has spaces, you will probably have to put the Exec= argument in quotes.
Place the resulting file in ~/.local/share/applications for a menu entry and ~/Desktop for a desktop icon.
Then, file an issue with gog support asking them to replace the tarball with an installer. I won't do that, because I don't care, and I have deeper issues with this game (i.e., it doesn't work at all on my system, but it will be some months before I get around to trying to fix it again).