In-game this is fine, as the 3D rendering works to 16bpp or 32bpp equally well, but it's clear the game is still expecting a 16bpp surface to work with during menus and loading screens.
I know people have made 32bpp patches for XWA, but I wouldn't expect them to be baked into the version that ships from GOG. But then again, I could be wrong I suppose....
