Nope, unfortunately ePSXe does not emulate all games perfectly yet. PE2 is one of those and so, I have been told, is Thousand Arms. While FPSE v0.09 does play PE2, it does have some glitches and some people have been unable to finish this game even w/FPSE. The best bet for PE2, right now, is a real PSX or PS2.
sincerely,
sx/amiga