Ah, so that was the issue. I had only copied over the CUE file. I didn't actually realize the BIN files needed to be in the same directory with the CUE file. Apologies for these misses - I am new to emulators for disc-based consoles. In the past, I had only used emulators based on cartridge systems like Genesis and N64.
It works now! Thanks so much for the help. I may be interested in Sega Dreamcast emulating at some point. If there are any special notes to be aware of when setting it up that you're aware of, would be interested.