Since it seems like you were overwhelmed with all the options dgVoodoo2 has to offer, let me share my experience using it:
First, unlike its predecessor, dgVoodoo2 can handle both Glide and DirectX games, with Glide support going from 1.x to 3.x, and DirectX support going from DX1 all the way to DX8.1.
Also, this is one of those applications where reading the included HMTL-based readme is pretty much required reading. (Sadly, it only comes with the stable versions; WIP versions only have a changelog.) Coincidentally, the creator also includes separate technical readmes for both the DirectX and Glide wrappers and how they work. I imagine you'd find it interesting reading, and may give you some insight when the wrapper doesn't behave like you'd expect it to.
The fullscreen resolution changes you mentioned could've easily been resolved using dgVoodoo2 by itself. You probably noticed the "Resolution" section in both the Glide and DirectX sections of the dgVoodoo2 config program - those are for forcing a particular resolution no matter what. For example, say a Glide-based game runs at 1600x1200, but the cinematics and so on don't. Force the resolution to the game's native setting, set the scaling mode to "Aspect Ratio" if "Unspecified" doesn't work and you've confirmed the GPU is overriding any aspect ratio stuff, and boom - you get a consistent resolution no matter what.
You can also do the reverse: say a DirectX game only supports a maximum of 640x480, but you want to scale it up to as close to 4K as is possible on your monitor (or your GPU doesn't support that low a resolution). Select "Max ISF" (Integer Scaling Factor) instead of your native resolution, set the aspect ratio if need be, and now you're running the game at a significantly-higher resolution than normally-supported and in the correct aspect to boot! Note that it scales both the polygons and the 2D elements, so the proportions of everything is kept; also, this may break certain games, like say Splinter Cell, or just cause them to crash. The best you can do is just try it out. Same goes for forcing AA, which uses Microsoft's reference AA technique (which either makes games look amazing or super-blurry depending on your tastes).
The dgVoodoo2 DLLs have built-in default settings, so using the config utility is optional unless the defaults don't work for a given game. Furthermore, you don't need to copy all the DLLs over into a game's directory unless 1) the game supports multiple 3D APIs and 2) you want to try out all the possible options. For Glide games, unless you know which generation the game uses (e.g. 1.x, 2.x, or 3.x), you just need to copy over the 3 Glide DLLs; otherwise, you just need the appropriate one for the game in question. For DirectX stuff, D3DImm and DDraw are the only DLLs you need for DX1-7; for DX8/8.1, just get the D3D8 DLL.
Hope this was helpful, and I hope my intro wasn't condescending.... 😐
Also, if I may be so bold, please feel free to PM me with any questions getting games set-up for dgVoodoo2. I've been using it on-and-off for 3 years now, and have tinkered with making it work on a variety of games.