sfd is a multiplexed streams container format. sfd2mpg expects the sfd contains a m1v video stream and a sound stream in adx format. there's a program called tmpgenc that is capable of demultiplexing both streams. If you start that program, you have to press file, mpeg tools and in this window you have to load the file in the de-multiplex tab(you have to select *.* as filetype since sfd is not in the shown) and double click the video stream for the video and double click the audio stream for the audio. I used it on the file you provided and the file format is an aix(the new version of adx) and therefore sfd2mpg doesn't work.
If you have trouble doing it yourself i'll upload the files for you. I used this myself to extract all adx's from sfd's from most SEGA games for my vgm collection and throwing away the video afterwards.