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Not to mention that at this point, the Vector Unit Recompiler is VERY experimental, only having been added in version 0.8, so for 1.) It's untsable, and 2.) it can distort graphics majorly in some games or cause crashes. Disappearing, or wrong graphics is very normal at this point, as my screen shot of Kingdom Hearts running in VURec shows here.
And you're right on the money Silenus.

 

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I would also want to ask a question about the Vu-rec. In the CPU option the third bullet choise is grayed out and I can not select it. Does that mean that my CPU does not support it or some other reason?

If you don't have a Pentium 4 or Athlon 64, then you don't have SSE2 instruction support, so Recompiler is the fastest mode available to you for now.

 

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Does anybody know if the pipelining and pixel-shading 1.1 (which currently display weird colors) will be fixed in the next version too?

The beta of gsdx9 0.9 seems to work ok with some games using 1.1, but with other games (and also all video captures) the colors get inverted again. 1.4 Seems to work as fast as 1.1, which doesn't seem to have many issues (only a handlfull of games need PS 2.0). Can't say for sure though what the end result will be.