For a CD burner to read and write the CDG format requires special software. Microstudio is designed specifically for this function (it also handles Audio CDs).
Your failure is due to having the wrong software.
The Yamaha 8824 "may" be able to properly read and write the CDG format. You can test it with our Microstudio demo version. Go back to
http://www.mtu.com and click the "Free Demo Software" link by the Karaoke products link.