I can only recall one enemy in the series who's a futa, and she doesn't actually have any direct images of her dick. It's just implied in the text and positioning. Note, I did not see one of the enemies in 2 and have not finished 3, so there may be more there.I know just the game you guys are looking for it's called Violated Hero 2
Honestly it's extremely like Coc('cept without the body modification) You are the hero and you fight a bunch of monster girls and some of them have dicks
You loose you get fucked
http://erogedownload.com/downloads/violated-hero-2/
As Moto pointed out, 4 and 5 do not have English translations, so I have not touched either.