Alright, let's get some stuff clear here.
Having WADs doesn't affect the game until you load them.
Now, beyond that. SRB2WIN by default uses SDL2. I highly suggest, if you have a computer with Windows 8 or higher, you use SDL2, because DD is no longer being supported. By 2.2, you won't even have DD as an option.
Now, there's software rendering, and OpenGL rendering. Software uses your CPU. The game launches in software by default, for both versions of the client. If you want OpenGL, you need to tell it to with one of the included BAT files. OpenGL will use your GPU.
Now, there can, and have been problems where the GPU is prioritized by something else. I suggest you close other programs before attempting to run SRB2 in OGL. And finally, make sure the r_opengl.dll you have is the one included with the archive of the game. You can basically just re-extract the game from the installer and if OGL works then, you know the reason.
Final suggestion is to check your configurations. There's been claims that too high a resolution can mess up the game, though I've not experienced it myself.