CD+G was a format that was invented to make audio CDs more "multi-media". It was widely hoped that it would lead to all sorts of cool artistic results, or at least subtitles for operas, but in the end all of that failed. What did succeed though (for better or worse) were CD+Gs aimed at the karaoke market. Those are probably still being made, they were a few years ago. The newest CG+G I've actually owned was the the Japanese 3" CD single of Fly in the Sky, the opening theme to G Gundam, something like 1993 or 1994. It isn't very good. The best one I've seen was Information Society's first album.
So anyway, the format is a format, so it doesn't matter when they were made, they'll play in any CD+G device. The TG-16/PC Engine, Saturn, 3DO, Sega CD and probably other systems all play CD+Gs. It isn't just a TG-16 thing. There are a lot of stand alone karaoke machines that play them, several laserdisc players (which can also play the LD+G format, which I've only seen in shops), and there were even add-on units.
There was actually some sort of sequel to CD+G that the Saturn can play, but I can't remember what it was called, and I've never seen one of these disks.
CDVs are hybrid 5" Compact Disc and Laserdisc. The audio format is standard CD, and the video format is standard Laserdisc. There is no way for an old game system to play the video portion of a CDV, but they can play the music. There were some decent CDVs made, but not many. Many of the ones made in Europe have rot because of defective pressing (I think moost European CDVs came from the same plant). I have one with Bubblegum Crisis music/video on it that is runs perfectly, made in Japan, obviously.
VCDs are an MPEG1 video format that the TG-16 would be able to play if it had the RAM and CPU for it, but it doesn't.