Swedrami: As opposed to popular belief, it may not be just the publisher's call on which platforms the game in question is released on, but that it's also the developer of the game in question who has a say, maybe even the last word in this matter.
Thus it's entirely possible that despite Dotemu's involvement as the publisher and their track record of releasing on GoG (Streets of Rage 4 being the most noteable and recent example) it may come down to the developer of Shredder's Revenge, Tribute Games simply not wanting to release DRM-free on GoG, at least for the time being.
I strongly doubt that Tribute Games' aversion for a GOG release has anything to do with DRM but i think they just like heavily incorporating Steam features in their games and don't want to deal with another infrastructure. The reason i believe this is that TMNT: Shredder's Revenge seems to work perfectly fine without having Steam running if you just play the Arcade Mode (i only tried 2 stages), while the Story Mode works but won't load savegames and have the game crash if you press anything corresponding to an online feature (which happens very easily because the game constantly pushes online play onto you on what feels like every screen).
When SoR 4 was originally released here, all online features were just cut out and there was a lot of backlash against that in reviews, so perhaps DotEmu wasn't too enthusiastic about dealing with the same situation here again either?