So GOG connect is bringing Sunless Sea vanilla, but not his DLC Zubmariner.
Am I right or do I missing something ?

You're right, I own the game+DLC on steam and here, with connect, I only have the vanilla game.

Meh, should have read here first, i just bought it on steam in hopes to get the DLC too.

Doesn't really matter though, I would have purchased it anyways. Just would have been a nice bonus to have it on GOG as well.

DLC doesn't generally work with GOG connect (unless we're talking about GOTY/complete editions). It's not GOG's fault, the Steam API doesn't allow GOG to see if you have the DLC.