That is not a problem, that is common scene. A lot of people dont get this but its very easy to explain. Dolphin is after all software... Take adobe photo shop for example. Each version that comes out has more features and is larger in size, so it requires more memory and cpu then before. Now en emulator not only is software but is also a lot like an operating system. After all its emulating the dolphin environment. So the more the emulators adds the more is expected to run it. Think about windows, each version requires more and more.
So yes, if you can not run games on dolphin 4.0, its most important you go back to 2.5 or so. Now 4.0 will have less glitches and allow you to use newer DX versions. F-zero is notable one of the hardest games to run at full speeds.