Go deep enough into understanding Windows architecture and you'll find that there's a lot of officially-undocumented stuff that various "protections" rely on. PEB/TEB fields, syscall entry points, known fixed addresses, anti-debugging/VM detection, etc.
As for that particular scary message, I recognised it as coming from a packer I saw a long time ago --- and a quick search reveals it is PEtite:
http://users.freenet.am/~softland/tutorials/Petite.v2.3.MUP....
Packed software is in general a good way to "stress test" your emulator. Besides the obvious fact of being essentially self-modifying code, they also tend to exercise the more subtle aspects of the OS loader/linker.