Well, here's a bizarre thing. Finally found a "Panzer General" demo, and it seems to run fine so long as there is NO AUDIO at all (mouse is also fine, just set to move too slow).
Even if I enable the PC speaker, I get this:
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DOS/4GW Professional Protected Mode Run-time Version 1.95
Copyright (c) Rational Systems, Inc. 1990-1993
InitHeap
mem allocated = 1500000
Mel Fatal Error #: 5 Trap #: 18
Mel Protected Mode Version 2.2.5, 4/28/94
Error Message: GTL File Not Found.
Re-installation may correct this.
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Makes no sense. BTW, that DOS4GW is built-in, not a separate file.