Depends on your country. In the EU you can do almost anything with your CD, like for ex. install OSX on a PC etc.

Law is always 20 years behind technology. Emulation like this is a gray area, so there's no way to tell you for sure.

IMHO, it's perfectly legal to play your paid for games on any system that will run it, as long as that system was developed legally with clean room techniques and contains no copyrighted code.

The bigger question is, since Saturn emulation is currently so poor, would you even want to, legally or otherwise?

People put a lot of different and often wrong concept under the word "legal", not everything you're disallowed to do is against the law, it can be against the terms of a contract you're breaking for example and even when you're breaking the law you're not always commiting a crime.

Here i don't see the police or government being involved in prosecuting someone playing 10+ year old games on consoles that haven't sold for well, multiple console generations so the question is who could do anything against you, who is being "wronged" and could turn on you for damage?

Realistically the answer is "no one". Sega isn't selling saturns anymore and can't say they're losing any money (nor even the oportunity of making money).

Do they allow you to play on emulated hardware without having the real thing? No.

Are you allowed to do it anyway? If you don't own a physical saturn pretty much everywhere in the world that would be no again.

Can anyone get anything from you in a court for doing so? No because you're not causing any damage to them.

The answer would've been different years ago back when it was selling but today you could just get sued, not show up, and most likely still win in most countires (well except in the usa where for some magic reason attorney fees would brankrupt you, sega, and 2 or 3 whole countries but that's a side issue).

Usually if you're not commiting something for which the government could turn on you but only a third party either physical or moral the true question isn't "can i do it" but, as long as it fits within your morale of course, "would anything actually happen if i did it". Here i don't see what could happen, for someone to ask for reparation in cash there has to be damage and you're causing none.