XeNTaX

Square Enix
Kingdom Hearts Final Mix
Kingdom Hearts 2 Final Mix+

what I know: they are .vag format

I have tried using PSound, but it only goes far a bit, and misses out several stuff.
Jaeden Naub does not work at all.
Cube Media Player 2 screws the audio to the point it cannot be listened.

Do you have any other method to suggest, save prayer and repentance?
thank you

Awave audio studio works. I went through the same trials and tribulations as you did over this very topic. lol

how it should be set?

I haven't tried but I remember VGMToolbox supports .VAG format