I've submitted a support ticket but wanted to post this for the other people having issues. The game's included dxwrapper (d3d8.dll) seems to have problems with Intel UHD (integrated) graphics. My account can't post links, but the unofficial Armada 2 1.2.5 patch includes a functional d3d8.dll. If you don't want to use the unofficial patch, you can try using dgvoodoo's latest release. A quick test says using dgvoodoo's d3d8.dll at least partially fixed the menu problems, but personally I was having issues getting it to properly display full screen and didn't feel like messing with it further.

Using the unofficial 1.2.5 was all that was needed to get my fresh GOG install working on my Surface Pro 6 (Intel UHD 620). I did not need to manually install other DirectX versions, set any compatibility options on the exe, or change any other wrapper settings.

Note that once you actually get in game, it works fine even with the original d3d8.dll.