I'm having problems with cdg files not burning. Power Burner tells me that it's an "incompatible audio format". However, I am able to play the same files on Power Player. I just updated Power Burner yesterday.
Doing such convertion requires audio processing and Power CD+G Burner does not do that. The best way to avoid such problems is to create 44 kHz stereo files when ripping CD+Gs.