May not be a solution for you, and may not be for everyone, but if you have a spare linux box lying around, you can use cdg2video
code.google.com
It needs some linux knowledge and runs on command line, but I was able to convert whole directories of CDG+MP3 to MP4.
Below are the different formats you can convert to:
Frame rate abbreviations:
ntsc 29.970 fps
pal 25.000 fps
film 24.000 fps
ntsc-film 23.976 fps
Frame size abbreviations:
dvd-ntsc 720x480
dvd-pal 720x576
svcd-ntsc 480x480
svcd-pal 480x576
vcd-ntsc 352x240
vcd-pal 352x288
File formats:
asf ASF format
asf_stream ASF format
avi AVI format
avm2 Flash 9 (AVM2) format
crc CRC testing format
dv DV video format
ffm FFM (FFserver live feed) format
flv FLV format
framecrc framecrc testing format
framemd5 Per-frame MD5 testing format
gxf GXF format
ipod iPod H.264 MP4 format
md5 MD5 testing format
matroska Matroska file format
mov MOV format
mp4 MP4 format
mpeg MPEG-1 System format
vcd MPEG-1 System format (VCD)
dvd MPEG-2 PS format (DVD VOB)
svcd MPEG-2 PS format (VOB)
vob MPEG-2 PS format (VOB)
mpegts MPEG-2 transport stream format
mxf Material eXchange Format
mxf_d10 Material eXchange Format, D-10 Mapping
null raw null video format
nut NUT format
ogg Ogg
psp PSP MP4 format
rm RealMedia format
RoQ raw id RoQ format
rtsp RTSP output format
sap SAP output format
swf Flash format
3g2 3GP2 format
3gp 3GP format
webm WebM file format
libnut nut format
