I converted your save from PAL to NTSC and didn't have any problems on my end.
Try this:
-Turn off Cheats.
-Go to C:\Users\<username>\Documents\Dolphin Emulator\Config and delete GFX.ini.
-Then, start Dolphin, and don't touch/change anything, start Shadow the hedgehog
Try this:
-Turn off Cheats.
-Go to C:\Users\<username>\Documents\Dolphin Emulator\Config and delete GFX.ini.
-Then, start Dolphin, and don't touch/change anything, start Shadow the hedgehog