The new formats experimental player does not handle missing files well at all. This is tested with version 11.14.19_c474af8.
1) Missing bass.dll
The error message reads "An error occured while trying to save data", which is completely misleading. Actually this error message occurs twice, before NeoLemmix.exe crashed completely with an EAccessViolation. Even after accepting this error message, NeoLemmix does not shut down properly, but has to quit via the task manager.
2) Missing data/particles.dat
Again NeoLemmix.exe crashes first with just a message "NeoLemmix no longer works // Quit NeoLemmix // Debug NeoLemmix" due to an unhandled exception. Only after trying to quit NeoLemmix the actual error message appears, which tells us what file is missing.
3) Missing level files
If either the folder "levels" is missing completely, or if it is missing, NeoLemmix produces an Access error at the module "NeoLemmix.exe", without telling me anything useful. A black form appears before this happens, but the main menu does not get displayed.
4) Missing styles folder
If no styles folder is present, the game reacts as in error 2) and complains about not being able to find "styles\deafult\lemmings\scheme.nxmi". I did not try to list all subfolders resp. files that have to be present in the styles folder in order to avoid any such errors.
In all cases, I would expect that the missing files create handles exceptions, that produce error messages telling me exactly what files are missing, and then exit NeoLemmix.exe nicely.
Do not treat this as a complete list of errors due to missing files. These are just the problems I encountered when I tried updating to a new version by replacing the NeoLemmix.exe file, while keeping the other stuff of an older new-format version.