I'm not sure about Brave Fencer Musashi, since you say that it keeps throwing you out. But, w/Vandal Hearts 2 try pressing F4 by itself or try pressing F5 and then F4. When stuck while loading, one of those two usually works. To get Gauntlet Legends to load, for example, you have to press F4. Otherwise it will not load.
sincerely,
sx/amiga