You probably haven't added it to your platforms yet. You can add it manually or import something for Sega CD and Launchbox will do the rest.
Also zip files aren't suported. You'll need to extract the archive into a folder and then import the cue.
For CD based games, I have all of mine in their own folders just cause some have multiple bin files and it could get messy. I just search my system folder for .cue, drag all my cue files into launchbox, and then import as Rom files leaving everything in their current folders (When It asks if I want to Move, copy, or leave as is)
Attached is my Sega CD directory just to give you an idea