That's because it was licensed under the archaic non-libre CC Sampling Plus 1.0 license. It's not libre because it essentially forbids most forms advertisement (even non-commercial!) and there are a lot of other problems.
This was likely an accident, and the authors didn't know better. OpenSFX is very, very old, and it was created when Creative Commons was still relatively young.
Anyway, since this has bothered me for so long, I have finally decided to do something about it, and worked on contacting authors and editors to relicense this. And also remaking a couple of sounds for which this is not possible.
It turned out most sounds were based on sounds from freesound.org. And thankfully, a majority of the source sounds were under libre licenses already, they were just listed (incorrectly) under the Sampling Plus in OpenSFX.
But there was another hurdle: The editors. These were OpenTTD contributors who took the sounds (mostly) from Freesound.org and edited them for better gameplay. And their work was collectively Sampling Plus'ed. So I also needed to collect permissions from those. Unfortunately, most people have already left, I believe OpenSFX was created ca. 10 years ago. But I got permission from a few people, and so I could easily relicense.
First, the responses I got from some people were pretty frustrating. I was told not much about the origin of the sounds was known. If that were true, the only way forward would be to replace all 73 sounds.
Thankfully, later I found out that the sound origins were actually documented very well, it was a file in an awkward location. This was very helpful later on.
So the situation was this: There were a couple of files based on non-free sources, and for which my attempts to get permission from the authors have failed. So those sounds needed to be replaced no matter what.
And then were also sounds based on libre source sounds, but they were still Sampling Plus'ed because that's what the editors chose.
Both hurdles have to be overcome to solve this.
What I did was the following:
- Researched the origin of all sounds (license and freesound.org URL)
- Contact almost everyone listed in the credits in the hopes to get permission to relicense (mostly with privage messages on freesound.org)
- Waited, and got a few permissions (yay!) and relicensed sounds (not more than 5 in total), but only from a minority
- Did nothing for ca. 1.5 years because I got bored, lol
- Started again, then sorted all sounds by license for better overview
- Contacted the editors again, got permission from 2 (out of 5)
- Replaced ALL sounds from non-libre sources (this required me to use completely new sounds, I used freesound.org and also OpenGameArt one time. While I was at replacing, I tried to also make them better while at it.
) - Because of my own editing work based on libre sources, those sounds were automatically libre. Done!
- With the permission from the editors of sounds from libre sources, I was able to flip the license of many other sounds
- Contributed some non-sound-related edits to OpenSFX, mainly to make the old and clunky build system functional again. The main devs also started to work at the OpenSFX build system again, which was nice
- Nagged the OpenTTD devs for weeks to finally make a new release for OpenSFX
The actual sound replacement finding and editing took me about 2 weeks on-and-off. The technical cleanup afterwards and waiting took a little longer.
The libre OpenSFX release is already done, it has been completed and is official a few months ago.
This is all official, and can be downloaded from the official website or add-ons systems. There wasn't a big announcement on the website, however.
OpenSFX version 1.0.0 is the first version that is actually libre.
In summary, yes, I have almost single-handedly created a libre version of OpenSFX, but some other people helped me as well. We also had to do quite a lot of cleanup of the build system, this was years-old dusty code that no longer worked which definitely needed an overhaul. And I actually had some fun with all the sound editing, it was an interesting experience.
Lessons learned:
- You actually CAN get unfree data free by just asking, but the chances are against you. It still might save you SOME work. If you ask literally everyone, there's probably at least someone you can convince
- Better get licensing right from the start
- Document all the data sources while you still can (if there would have been no documentation on the sound sources, this would have been even more annoying, as I would have basically started over)
I post this here as a cautionary tale for all of you that it's pretty important to get the licencing right at an early stage.
Oh, and also because I feel some pride in my work. 
APPENDIX:
Here are threads on tt-forums.net for those who want to read more:
https://www.tt-forums.net/viewtopic.php?f=29&t=44761 (original OpenSFX thread, it's very old, it gets interesting at the end only)
https://www.tt-forums.net/viewtopic.php?f=29&t=85815 (my thread in which I first complained about OpenSFX being non-free)
