Thousand arms is another non-emu-friendly game. Bleem, VGS, and EPSXE all get stuck at the same point, right at the begining of the game. (and I don't think it's possible to skip past with a save, but I could be wrong)
I highly doubt Thousand Arms is high on the compatibility wish list for most people (although I wouldn't mind it). And, since that's the point that all three emulators freeze at, I'm guessing that's some sort of weird call not usually used. As for getting past the intro by using a save, that's probably a possibility, but even then some future crash point is just as possible.
No knows for sure what games will or will not be playable on FPSE whose next release is slated for June 1st. Mr. Fogg (one of the FPSE team) recently sent out a call for beta testers. Many answered and some were chosen, so it would seem the release is well on its way. He also asked for a list of games that the potential testers would like to try w/the new release. This would tell me that he and the rest of the team or hoping to find out how great a compatability rate FPSE will have before they release it. Hopefully, Parasite Eve 2, Threads of Fate, and Thousand Arms are among the titles that will be working. We'll just have to wait and see. June 1st isn't that far away now.