Hello,
Do not forget to put the right bios and flash files in the bios folder.
wiki

About Shenmue II, it does launch but crashes right after the intro.
Shenmue 1 is OK (with some glitches).

I am really impressed by the pi able to launch DC games. But the reicast emulator is far from stable and it only launches and emulates correctly less than 50 games (I tried more than 100 games, sometimes both .cdi and .gdi files). And then the pi lacks some power to play the remaining playable games at full speed. At the end only around 15 games are worth adding to the Recalbox.

Have fun !