You're wrong there.
That would be a function of the player that you're using and not what
Scottie kindly shared with us.
VLC is not a program that I would recommend for playing karaoke, in fact
there isn't a video player that I would recommend. Playing with the version
that I have here v3.0.18 Vetinari - I find that it while it will play MP3s with their
corresponding CDGs, it will play only the MP3 if an MP3/CDG zip is dragged
into the program.
SFAIK any of the current DJ players which are advertised as playing video
will do the job for you - I use VirtualDJ. You can download and use the program
for free from their site; I bought mine so that as and when and if I need support
I can get it easily.
Here on my home computer I use WinAmp with two add-ons.
One of them gives WinAmp the ability to play CDGs which match the name the
an MP3 that's playing.
The other add-on plays the content of a ZIPfile, which means that dragging a
zip into WinAmp starts it playing the content straight away.
Once it's playing it's easy to use the left/right arrows to jump through a song
looking for bad GFX.