I found that both the RPGMaker XP runtime and the Soryu-Emaki game files needed to be extracted from zip with Japanese character encoding. At least one of the install wizards still had garbled characters, but it installed OK. The Locale Emulator just installs as normal, then you right click the Soryu "Game.exe" to do "Locale Emulator > Run in Japanese" (Windows 11 requires you to select "Show More Options" first—thanks Microsoft).
Other notes:
Xbox controller inputs work, though the button mapping is a bit strange for my preferences.
The game window is tiny on my 4K display, but pressing Alt+Enter will toggle fullscreen.
Oddly, when I only extracted RPGMaker XP with Japanese encoding, but not the game, the game actually booted, but then crashed when selecting new game because it could not load audio/image resource files (bad filenames). It also did not recognize Xbox controller inputs.