I wouldn't buy the system for one game, so would go the emulator route. Dunno about anti CD-R measures, but there's probably a mod to disable it unless there's no protection as you're indicating.
Oh trust me the Saturn has way more then one game that makes it worth while.
Apart from all of the Working a Design games there are many other games that are very fun for it.
And the import games are just as fun granted I am very new to that side of Saturn fun.
But yeah I was under the impression that there wasn't any form of copy protection. Just the need for a action replay cart to play most games that are copies or import.
Panzer Dragoon Saga being that one oddity that has to be for the region of system you are playing.