Correct, the Utopia disk will not work with a VGA adapter. Try using the Gameshark CDX, Blaze MP3, or Codebreaker discs to boot with. They all support the VGA box, and allow you to insert a CD and choose the "start without codes" or "restart" options.
All these discs are real products and are available for under $10 at Gamestop or Software Etc.
One other note. After you figure out which "backup" you like the best, please go out and buy real verisons of them (most DC games can be had off ebay for $5-15). Otherwise, you are just supporting the people who helped put the Dreamcast 6ft under!