I have tried it and the same error message with several roms:
ERROR: required files are missing, the game cannot be run.
RetroArch [WARN]:: [GL] Stock GLSL shaders will be used.
RetroArch [ERROR] :: Implementation does not Support save states. Cannot use rewind.
All games that I tried, I got this error.
Also some game files missing as it seems. But on the Windows PC and mame, it’s running, exact the same game.
The neogeo.zip is also in the rom folder.
EDIT: Now I tried some really old roms, with Emulation station – These are running. :-(
But classics like Metal Slug are not.
So what is the best way to get it running on RetroPie?
There are a lot YouTube clips where people run all the cassics I also tried without success.