So, it seems that the error is because I'm using Windows XP (yeah, yeah).
The 4 games works on XP individually, but in the Complete Box, they doesn't.
And, it's so weird... after some testing, I found out that the Complete Box installer itself won't install on Windows XP, but once it's installed, the gsw.exe does run on Windows XP(I moved the installed content from another computer to mine)... while it also DOESN'T.
While gsw.exe does run on Windows XP, you won't be able to pass the first black loading screen, since you'll get the error I mentioned before. While Windows 7 pass that just fine. So, yeah, Complete Box is only for Win 7+.
I feel so disappointed. I really hope the devs would do a tweak to make it run on Windows XP, since all previous games runs individually, but I know it won't happen.
A shame I won't be able to play this series(I managed to test the game in many ways with help from a friend's pc) since the translation of the whole series is likely to be moved to the Complete Box instead.
I know the 4 games are mostly translated individually, but I was hoping to play the 3 last ones with translated battle dialogues as well, which, if those turn out to be translated at all, pretty much will be available exclusively for Complete Box.
This has made this my saddest day of the year.