Saints Row 2 never had achievements on PC. Saints Row 3 did but apparently either Deep Silver doesn't care or GOG is not ready to accept achievements in 3rd party games.
Ah crap, you're right. For some reason I was convinced that SR2 had achievements on Steam (and I actually played the Steam version A LOT). The really weird thing, though, is that the Steam store does not even list multiplayer options for SR2 while I'm perfectly positive that the game at least had it in the past and the GOG version actually does list both competitive multiplayer and coop. I wonder if multiplayer has become unsupported in the Steam version while it works on GOG.