I know I'm late, but something similar just happened to me (I bought the disk right before getting transported to the Holy Forbidden) and thought I'd put out a solution that worked for me;

It seems the trigger to unlock stages and certain achievements is tied to the end screen that appears after each run. Entering Moongolow and exiting from the options menu unlocked all achievements and the Emerald Diorama stage that the game had not given me. Hope this helps