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The original individual chapters used web authentication with Telltale, which was hard to complete in Crossover because it used some funky IE functions or something.
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Later versions of Crossover (starting with 10.0, I think) supported the funky IE functions, and installing/playing these chapters worked wonderfully.
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Current versions of the individual chapters seem to use SecuROM, which is NOT supported.
But there is also the complete edition which comes in different flavours as well. Mentioned here for completeness:
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Retail DVD versions also use SecuROM. NOT supported.
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The digital version from Steam DOES work.
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If you buy (or already own) the complete season from Telltale, you can get DRM-free versions on a DVD, which ALSO work.