You cannot create 15bit modes if the gfx card does not support them, and the Voodoo doesn't AFAIK.
I got this message in WinUAE, too, but with the latest Update (1.2 IIRC) it works now. On my Amiga with Mediator+Voodoo, the PPC version works either.
And please do not mix P96 and CGX, they are different. MorphOS uses CGX and Mediator uses P96.
Bye,
Thomas