I'm in the process of deciding how I want to sort my arcade roms so I been individually adding them one at a time... I happened to just hit a Naomi rom and ran into the same problems as you with Demul. Heres what I did to make it work.
My game was 18 Wheeler, using 18wheels.zip as the set i went into the game in launchbox, then to the Emulation tab, checked the "Use Custom Command-Line Parameters" box, in the box i used the platform command-line + the rom set.
-run=naomi -rom=18wheels (without .zip)
Thats the only way I've found to get the demul games to work for me. Also, I ended up removing the command-line parameters from the associated platforms but I dont know if that matters or not.