Anyone has the issue where the character is gone?
Yes, and I have the solution.
The game comes with data folders. It needs to be in the same folder as those data folders.
So, a top directory containing the .swf or .exe file for the game, as well as the sub folders associated with it. (In my download, that would be the data and sound folders.) The game will work so long as it is launched from that folder. If you move the .swf files elsewhere without those data files, the character vanishes.
Same with witch girl, I believe.
Hope that helps.
JLB