It's not the microSD slot that's the issue.
The files themselves are made to be played in specific types of phones. (Namely Japanese ones that aren't available elsewhere.) I'm sure you'll be able to play them somehow but I don't think they'll work in all phones according to what's been said by CDJapan.
http://www.sdcard.org/consumers/faq/
(See the SDaudio section.)
Quote:
Can you save data in different formats such as audio, video, still pictures and documents on a single SD card?
Yes, you can save data in different formats as long as the card has sufficient memory capacity. However, to play or transfer the data you will need equipment that is compatible with the appropriate data format such as SD-Audio, SD-Video and SD Document.
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On the plus side though, you get two copies of the songs and two copies of the videos. (microSD vs. USB+DVD.)