In order to select the other episodes that come with Rise of the Triad: Dark War, you have to go into the Setup application, select the episode you want, and then choose to "Save and Run ROTT". The problem is that at the current time there is no way to access this Setup utility through GOG Galaxy, and therefore you can only ever play the default game with all of the features that GOG Galaxy is meant to provide (time tracking, the upcoming ingame chat, etc).

This is not hard to resolve at all (you can just make the Setup application accessible through Galaxy), but I thought it was worth mentioning.

Well I just very briefly tried doing this on my iMac, I launched ROTT from within the Galaxy Client and it came up with the launcher that allows you to select the main game or multiplayer mode or run the setup utility, and I was able to access the setup utility this way. I should point out that I'm using a Mac, I don't know what you're using. GOG seem to be very frequently updating the Galaxy client, so it's possible that they may have resolved the problem you had. Normally when I play games I buy on GOG I just launch them as I would launch other apps on my Mac, either I launch them from the applications folder or the dock.