OK, so I reinstalled RretroPie on a 8GB card, and extended the space to take all the 8GB on the card.
Then I followed the article on lifehacker to configure everything properly, then put some SNES roms, and… it worked!
I tried with 5-6 SNES ROMS, and they all work properly.
I still have the problem with MAME games. Maybe it’s related to BIOS?
I saw that RetroPie is using several emulators, including RetroArch that emulates a lot of different platforms. How do you know which emulator is used for MAME or NeoGeo? Can you specify which emulator to run somewhere? Which one is the recommended option?