SOLVED! So the solution was to enable Sega License and Boot Logo in the GDEmu Menu Options. Pretty simple.
So I just ran the What's Shenmue English Translation on the TOSEC GDI, as was recommended. Popped it in my GDEmu, and on starting, it gets to the SEGA License Screen, and then just goes straight back to the GDEmu Menu.
Anyone know why that might be? Anyone have it working on theirs? Thought, suggestions, etc?