Fully playable, all modes, even with save states. Very minor graphical glitches.
Biggest issue is that in Story Mode, the stage music is prone to not looping or taking a while to loop sometimes, resulting in only sound fx and voices until you get to the next stage.
Played with Odin's Standard Mode + GPU Tessellation, SH2 Cache, New Dynamic Recompiler, CPU Affinity, and Compute Shader.
Game works very well, even with save states. Only issue is small but uncommon graphical glitches, and the ending music stops playing on the story mode's final screen.
Played with Yaba Sanshiro's New Dynamic Recompiler and Odin's Performance Mode. With GPU Tessellation & Frame Skip enabled, the game is playable from start to finish, and works with save states.
Outside from audio skipping, like most other Saturn games, the biggest issue I noticed is that the foreground and spike graphics are transparent in one area of Aqua Man's stage (It gets fixed as soon as you exit from there). Other than one very minor graphical oddity in Sword Man's level, everything seems just fine.