So, trying to run the games on Ubuntu, I encoutered the same problem. But since I used innoextract to install it without using wine, I had acces to the differents dosbox configuration used.

In short :

the C: drive must be mounted on the table directory, in my case with "mount C ~/Gog/Dosbox/fantasies_tables" for example

and a D: drive must be mounted on the DATA subdirectory , in my case "mount D ~/Gog/Dosbox/fantasies_tables/DATA -t cdrom" ( -t cdrom meaning we simulate a cd drive )

then to run fantasies, you cd in 21stcent folder and run the pfd executable and with illusions you run the illusions batch .

( and since "mount ." doesn't works with dosbox linux apparently, I had to modify the conf files a bit )

Let me add to this that in order to run the games in Boxer (Mac OS X) without issues one needs to install the games (e. g. using Wine) and then drag&drop the folders for each of the four games onto Boxer's "import a new game.app" and Boxer will pick up the DOSBox settings and whatever was used to get past the CD check. One should not try to make a new Boxer gamebox manually, or else the settings by the GoG team will not be picked up.