The Saturn and SegaCD both play CD+Gs just fine, I tried out some karaoke discs in both of them.
Bluetones, if you burned your own, it may not really be a CD+G disc, as not all burners can burn them. The CD+G format relies on the subchannel data of the CD to store its graphics. It's possible that your burner either can't do this or maybe you didn't set any particular options for writing the subchannel data.