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Firstly please stop double posting, there is an edit post option on the lower right of each of your posts

You can enable an option to show you the VMU screens that for testing is a good idea
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None

gdi images you need to set the correct region otherwise you get booted to the bios screen (they are dumps of the original discs and all binary files are needed, but you attach it via the GDI file...

Buy a Dreamcast

Shenmue does not emulate well

The game is very much worth playing just not via emulation yet

Shenmue and Shenmue II can be continued on, on the Dreamcast if the first Shenmue...