Re: Data transfer in Armored Core & BG: Dark Allia

This should answer your question
https://gamefaqs.gamespot.com/boards/914543-baldurs-gate-dark-alliance-ii/59273368

I would assume how it works is the game reads your save file on your memory card from the previous game in the series. Have you been using the memory card to save your game or have you been using save states?
If you have only been using save states, then load the save state and make sure to save using the memory card. PCSX2 can also emulate memory cards