You are missing that Atari castrated the Steam version since Steam is only windows (at that time) they thought they wouldn’t need to ship the linux binaries with the downloadable version of UT2k4.
So you get the following options:
Use the UT2k4 linux setup from the original dvd
run UT2k4 via wine/proton
use the Flatpak launcher, copy the gog/steam data into the appropriate folder (the flatpak runner will tell you where)