My hugest apologies, when I saw you post a link to an online store I thought it was spam and reacted and removed that thread (our spam filter also prevented some of your posts from being shown.) Been busy with spammers over past 36 hours across Christmas so was a little too trigger happy and over-reacted, sorry again.
Sounds to me like the player's issue. Do you have a DVD player with CD-G abilities? My DVD player has that ability, not a well known brand so it gives more abilities for a heap less $ than the known brands who want you to pay lots more for pitiful more abilities for their so-called premium versions but are still more limited than the DVD player I bought.
One thing you can do is go into stores that sell karaoke machines and see which ones will play your CD-G.
Before I bought my last DVD player I took various CD and DVD types into the store and tried them out before I chose which one to buy. The so-called known brands turned out to be 'rubbish' in comparison to the one I found which could play all the disks. Yet it cost a fraction of the price of the known brands premium DVD players which had less abilities. It's all marketing, and the big brands will try to sell you limited ability devices at premium prices. If you want better they want you to wait until they release their next premium model for a small improvement. pfft
In your scenario, if you find a player that can play what you want, then go back to the store and say the player you bought does not do what it says it can when other players can. I am not sure about business laws in your country but in my country you would have a right to take the item back because it does not do what it promised. The store should at least restore the credit you paid so you can put that toward the brand+model you want.