While VGA mode is supported by most every Dreamcast games, there are a few that do not support it. Some of the non-VGA games can be patched to be used with a Dreamcast VGA cable by making some quick modifications to the ripped game’s CDI file.
You can also get a full-featured Dreamcast VGA Box that sports both S-Video and Composite Video for non-VGA games.
Fortunately, most of the games that do no support VGA mode aren’t that good anyway. The only game I am bummed out about is Last Blade 2. However, if you must play this game on a VGA monitor, you might as well just emulate it with MAME.
Anyway, you will find a list of nearly every Dreamcast game and their VGA compatibility status.