Someone said you should be able to run it on CPU. Well, maybe. However, PhysX is terribly optimized on CPU, and single-threaded, so even a high-end CPU isn't going to give you a good framerate. Newer versions of the PhysX SDK are better optimized, and the 3.x one should finally give half-decent CPU performance. But not in an old game like this.
It just depends! I remember the first Risen game, it also used PhysX. With NVidia GPUs it ran on the GPU and with all other GPUs it ran on the CPU, but as far as I remember the effects were completely the same, with the little difference, that the performance with the NVidia GPUs were slower BECAUSE PhysX ran on the GPU while it was faster when you disabled PhysX on GPU!
I dont think that the difference for most effects is that big at all, even if the GPU performs better in such calculations because of the architecture and the huge rough power it has. But the main problem is, that it does much more than just calculating physical effects.
The more important thing is the question about the bottleneck. Just let us think about a game that does heavy use of the CPU but almost no use of the GPU, in such a case would PhysX on the CPU decrease the performance heavily while PhysX on the GPU had almost no effect to the performance at all. Also the opposite could be true, that a game does heavy use of the GPU but almost no use of the CPU, in such a scenario the PhysX calculation on the GPU would kill the performance while PhysX on the CPU had almost no effect.
Most games today do heavy use of the GPU, because with all those little shader programs more and more of the game is calculated on the GPU instead of the CPU. The CPU is today in many games just for data moving to the GPU responsible and almost for nothing else. In such a case, calculating the Physics on the CPU would be the much better option, because it would do almost no hit to the performance, especially if it is calculated in one or more separated threads on cores which wouldnt be used otherwise.
Another point is the question about the hardware the user uses. One could combine a big CPU with a little GPU and another one could combine a big GPU with a little CPU both would experience something completely different with the same game.
What I want to say is, as mentioned at the beginning, that it completely depends.
I myself dont know how Sacred 2 works, but I wouldnt generally deny what he said.