Nope, I tested Grandia Disc 1 as a .cue launching from LB into RA with mednafen and it worked fine. Then I removed the game added disc 2's .bin and .cue file to the folder. I created the Grandia.m3u with the lines:
Grandia (USA) (Disc1).cue
Grandia (USA) (Disc2).cue
It then gave me the alert and didn't do anything else.