That likely means you have the files in the wrong place or you have a modified wad file.My mistake, I remembered them being the same app before.
That being said when trying to launch hexen with that I get an error that says SKY1 not found
The 3dsx version requires the wad file in the same directory as the 3dsx file. The cia version requires the wad file to be in the exact directory specified in the installation instructions in the link I provided.