Thanks for feedback @Zombeaver !
I was using Genesis's Picodrive core, and switched to Genesis Plus GX, since you mentioned it should work with this core.
Unfortunately, no *.cgp shader get listed yet ...
Video driver setting is set to `gl`.
The video card is an NVidia RTX2080, so I expect it to be compatible with Cg.
However, it's more the software environment which worries me.
Since it's a Linux workstation, there are many parts which can be "customized" by the distribution.
I'm using a stock Ubuntu 19.10, with as little modifications as possible.
Still, anything could happen on this front ...