GOG typically does this for games that use a separate .exe to launch the expansions. Otherwise, you can quickly get icon overload on the desktop. Still, I suppose they could have it as an advanced option in the installer.
Ah. I hope GOG does something about this though because it feels like a mistake in this case. If you go into the folder where the game is installed there is no way to launch the expansion from there. Combined with the lack of a desktop shortcut I can imagine a customer buying SiN for the first time might not even figure out that the expansion exists or is part of the package. I personally almost never launch games from the start panel. Like you mention, I hope they add a tick box in the installer to add a desktop shortcut.
I certainly agree here! While I'm happy we have what appears to be two versions of the original Sin (one accessed and modified from the expansion), I think the original that is currently given the desktop treatment should be the one to be given a tick box. It seems GOG has messed this one up. Almost rushed out the door with all the, albeit small (and avoidable), problems people have been having.
As for desktop clutter, if I'm not mistaken, the GOG installer for Spelunky drops two shortcuts: one for the original and one for the HD version.
EDIT: Not correct. Spelunky has two separate installers. Doh!