Yes, you can load your images from a file, but this isn't recommended. What if you want to animate an image like you do with sprites? Without adding to the archive, an ASDb file, and converting it to an AsphyreImage it won't work. It's too convoluted a process.

I used Turbo Delphi, BDS2006 dumbed down, so there might have been a few things. But, the problems you describe come from not including AsphyreDef in your Uses clause. My code might be rather amateur, but aside from the sound system there really aren't any bugs that I've found or been notified of. (On some computers there are instant crashes, which near enough as I can tell is related to the music. Odd, but I can't really explain that one.)

Once you get AsphyreDef in, remedy your aqHigh/alFull and fxBlend problems you should start to see results.

Half the problem seems to be that you aren't wanting to adapt, and so want to continue to use what conventions you are used to. In the end, you'll see that Asphyre is extremely powerful, and that you don't even have to stay where you are comfortable. To that end, I've worked with Asphyre 4 and extended it slightly to support ZIP archives ... so you just define all your resources in XML and then load them by groups from a Zip Archive. Wasn't hard, but it wasn't like I used to program either.