Works on Crossover 8 - only problem I had was that the gameplay was slowed down a bit (smooth framerate, I suspect the cause was the water down below on one level which my Mac Mini likely did not like very much).
I am slightly worried about the process for quitting the program. In full screen, the only shortcut I could figure out was the good ol' alt+F4 trick to quit it. Doing this will get yourself a nice little pop up asking if you want to quit the game but this might not be clickable (it wasn't at least in Sonic Adventure DX, which came with this copy of Sonic Heroes). EDIT: on Sonic Adventure DX you can always just force quit the entire game and crossover application, so maybe that could come in handy for those having the same trouble on Sonic Heroes.
Over all running the windows copy of this game through crossover on a mac works better than the native PS2 version of the game (which tends to be a bit more glitchy, at least on a PS2 Slimline).