I know this thread is ancient, but I just encountered exactly the same error and when you search "shining force cd graham exploded" on google, this thread is the only result. So, for posterity, here's what's happening:
tl;dr: You continued a game by loading a save state, but you forgot to also load the RAM cart containing that playthrough's save data. It works until the game tries to save, and then it can't find the RAM cart and gives this error.
A conventional (physical) Genesis game cartridge contains a large block of read-only memory (ROM) which contains the game data, and also a smaller block of writeable memory which is where saved game data goes. That's why, for example, SF1 and SF2 only have three "slots" for saved games -- that's how much space is available on the battery-backed writeable memory inside the game cartridge.
A CD, on the other hand, is 100% ROM. It is not physically possible to have any amount of writeable memory on a CD, so the SegaCD system requires that you use a RAM cart to store your saved games when playing SegaCD games.
KEGA supports the creation of a virtual RAM cart which is just saved in a file on your computer. But -- and this is the tricky bit here -- it does not remember which RAM cart file you had loaded the last time you played. Every time you shut down KEGA and then restart it, it will act like you have no RAM cart inserted, until you specifically tell it which RAM cart file to load.
If you were playing the way you would on a physical console, you would notice this immediately: when you start up Shining Force CD (or whatever), you'd see that the game you want to continue is not available, and you'd think "oh, I forgot to insert the RAM cart".
But for convenience, most KEGA users save their progress using savestates instead of the in-game save/continue system. That hides the problem, because then it's possible to load the game state of a playthrough which is saved on a RAM cart, even though you haven't told KEGA to load that RAM cart. Everything progresses normally until the game tries to save your progress, either between chapters or at camp, and then it hits this error because it's trying to update your campaign save data on a RAM cart which isn't there.
I don't know why that leads to the "GRAHAM exploded" message, but if you just go into the KEGA menu and tell it to load the RAM cart containing your active campaign, then it has no problem saving.