Believe it or not this most likely has nothing to do wth CgGL and libCg. those libraries are just not tagged with version information (hence the warning).. this is nvidia's fault.
So, the game is running fine, and it just crashes on exit? I was pretty sure that was fixed in the latest patch for the game. You sure you have the latest collection patch available? the issue was with the sound system not cleaning up correctly.. Or some issue in pulse audio.. You might try swapping out the openal and vorbis/ogg libs in the "lib" directory with your system versions (ie.. just remove them from the game's lib directory.) there are two lib directories.. one for Overture and one for Black plague..
If it still does it, then try turning on core dumping (ulimit -c unlimited) and re-runnign the game.. you'll get a core file when it crashes.. just run
gdb ./penumbra.bin core.#
(where # is the process ID number after the core dump)