I haven’t tried using cue sheets so far but the japanese page mentioned this with regards to their previous version (translated):
Changes from Ver. 2.37:
Supports playlist (m3u, cue) playback.
On another note, I encountered some stability issues with Sega Rally Championship where it froze Windows in the Options -> Sound Menu, but the music still plays correctly in the background. But I can still get in and out of the game if I avoided the sound options (I’m just really looking for an ingame volume control anyway)