I think I may have found the answer. Line 2669 of Image.cs (EMGU source code) says this:
/*
//PixelFormat.Format16bppGrayScale is not supported in .NET
else if (typeof(TColor) == typeof(Gray) && typeof(TDepth) == typeof(UInt16))
{
return new Bitmap(
size.width,
size.height,
step,
PixelFormat.Format16bppGrayScale;
scan0);
}*/
Not supported! I wish the exception said this!