You have to force compat option '16 bit color' in the reduced color mode section for the executable.
This game queries the color depth of the screen through GDI (so dgVoodoo cannot hook it) and it does not like 32 bit.

Or, the executable can be patched to avoid the compat settings, I did it at some point in the past because I found an rm4x_patched.exe in the game folder.

Thanks. I usually do check such settings but I guess I rushed it. The intro videos are just a black screen though. I guess that's GDI related?

Yes, those are GDI rendered but it can be hooked by GeneralExt\SystemHookFlags=GDI.