I think it has something to do with the parameters in the GOG provided start menu shortcut. They force the game to load the autoexec.cfg for reasons I don't know myself, but I'm quite sure this is the cause because using custom parameters for Quake 1 and 2 (and half-life 1, I seem to remember) used to launch the game with the console brought down. Makes sense to me that custom parameters would skip the extras and go straight to the game engine for SiN as well.

If you launch the game executable directly the cinematics will play, though it looks pretty awful because the game keeps minimizing and fullscreening as it changes resolution while loading the next clip. The intro is on youtube anyways so you could just watch it once and be done with it.