I remember needing to mess around with the window and resolution multiplication awhile before shadows came out properly. Now the only problem is that it occasionally slows down because of the sound, but it's not bad. In Digital Devil Saga it's almost constant in the first area so I haven't bothered playing through on emulator to find out if it gets better (Edit: Just tried more past that area, it runs great) Nocturne runs great.
Only real issue is that it may run 60fps in hardware but the gameplay is locked at 30fps. Also remember these games use this old PS2 motion blur effect for some reason (a cover for framerate issues? It's also in GTA3)...
But they have style out the ass so it's completely worth it. SMT best RPGs evarrrrrr!