[SOLVED]: See my reply #7 below for what seems to have worked!
OK, hijacking this rather than starting a new one, because Pier Solar with CD soundtrack is now, officially, the only thing I haven%u2019t been able to get working on my shiny new MEP.
Like the OP, I have a Mega Sg on the latest non-JB firmware. I%u2019ve got the latest OS for the MEP (4.04). I%u2019m using the MCD firmware versions recommended in other places where people are tearing their hair out over this particular game (2.00C for JP, 2.00W for EU and US), though I%u2019ve tried most other official ones in varying combinations. I%u2019m using the disc CUE/BINs from the redump set (one CUE, four BINs). I%u2019m naming the CUE and the game ROM the same, other than the extension.
I%u2019ve tried each version of the ROM available in the latest no-intro set: three Reprint versions and what I assume is the original. Didn%u2019t bother with the beta.
I%u2019ve tried multiple cards with different capacities. ExFAT and FAT32. And every single time the same thing: MEP recognizes the game as PIE+CD(10) and launches, I select a language, and after a few seconds %u201Csetting up 64MEG cartridge%u201D it fails with %u201Csomething wrong happened%u201D and that%u2019s that.
I%u2019ve only found one other reference to that message and the person said it just magically fixed itself at some point, but I haven%u2019t experienced that yet. But I know it must be possible to make this work: Krikzz demonstrates it in his very first feature video, and presumably the OP got it working!
I guess it%u2019s worth noting that every one of these ROMs, without the CD files present, works perfectly.
So I assume it%u2019s something to do with the CD image, or the BIOS version. But I mean, who knows at this point? It%u2019s officially past being a fun puzzle.
Any suggestions from someone who%u2019s gotten it working?