I have two boxed copies of the game as well as the GOG version, but I do think that's a slightly paranoid point of view. The only difference in the GOG version (having done a diff of the directory) are the files for the GOG uninstaller rather than the original and some files which offer integration with Game Explorer (the "Games" menu from Win Vista/7) which are
available from Microsoft.
The game works perfectly well without these extra files, so it's possible to delete them if they cause concern.
If you are so concerned about the provenance of your software, how can you trust any closed-source software? Nobody has any guarantee what any of it does because it's not possible to analyse the code, so everything has to be taken on trust. This is why the source for
my Il-2 server utility is open, because I think it's common courtesy to do so if I am to expect people to use something made by some random bloke.