This could be several things.
First do you actually have all the bios files, they are not included in all the romset types, they are in the non-merged set but i'm not to sure about the merged pack. Also the romsets and the emulator are versioned for a reason, so if you have a 0.202 merged romset then you should really be using version 0.202 of the MAME emulator along side it as this can cause incompatibilitys (rom zips and the emulator can change from version to version, and a game that worked in a previous version can be broken in a current version and vice versa). Thirdly what games are you testing? Some games also need a CHD file as well as the rom zip in order to work, CHD's are essentially CD images compressed to the CHD format and some games need them. Killer Instinct 1 and 2, Street Fighter 3 and it's sequels for example all need bios, gamename.zip and CHD.