I'm always impressed when I think about what modders have done with Sonic Adventure. For SADX, they've found ways to port all the old DLC, and they've even managed to enable some content that was never fully made available.
For SA2, most of what you could expect to get out of the Dreamcast game is there. Compared to the first game, SA2 and SA2B are a lot closer to feature parity -- to the point where it's only a handful of lighting tweaks that have been applied, mainly to cutscenes.
Yes, the VMU is distinct method of interacting with your chao. If you don't pay attention to it (don't have coin batteries? go figure) then you'd miss out on...relatively little, because you can still increase (most of, in SA2) your chao stats without them.
So the one bit of DLC that's not been ported, from SA2, stands out that much more. It's not surprising it's never been ported, as it required its own special section in the game and doesn't play nicely with some of the expanded features of SA2B. It's a trio of weird user-designed contest courses! One's in the shape of Opa-Opa and has you piloting the Opa-Opa around it, one's a giant E and has you riding in an Eggrobo, and the last one is a big rectangle that is nearly impossible to finish first in because everyone's using extremely high-speed karts. Heck, all three of those special karts made it into SA2B without any DLC concern, but the courses were never moved off Dreamcast. While a VMU will save the times of those courses independently from having the DLC files (i.e., in the main save file for the game), it's a small pain to actually deal with them, because they take up a LOT of VMU space; I believe you just barely fit them all on a single unit if you free up some unused reserved memory, and you can't save much else after that.
They're the one truly unique feature to be experienced in SA2: Battle. In Flycast, the webpage function in game will let you download them to a (virtual) VMU by way of the old dreampipe servers for the game, and it's not terribly difficult to transfer the save files onto a real VMU with third-party tools (i.e., dreamshell) and a serial adapter to SD card.
To be honest, none of them are particularly special -- they're not much fun to play and are all annoying in different ways. While I don't completely regret the effort I went to playing them, you're really not missing out if you've never done so. Mostly I did it so that I could explain that I have (and, on a real DC to boot per the methods explained above).
If you're still curious about what you're missing, thankfully SPEEPSHighway put footage of all the courses on youtube:
(Well, I suppose you can also race these courses in the 2P mode. You'll use the normal karts to race in that mode -- same if you access them from the kart race single player menu rather than the download event option. Your best times won't be saved.)
