Let me join the band guys.
I looked up for this problem this morning and the problem is encountered by many users apparently but no fix so far mentionned.
The folder is in the correct place, correct name, I even tried various names combination thinking the wiki was not up to date (Dolphin, Sys, System, whatever), nothing worked.
Someone mentionned to try the “Download content” tab in retroarch frontend, then “Dolphin” tab, and select “Dolphin-data.zip”. This downloads the Sys folder in “Downloads” folder in retroarch’s root directory, but once again the folder is not recognized here.
There’s definitely a conflict somewhere and either the wiki is incorrect or a bug has to be fixed about this.
EDIT: I can confirm that “Retroarch/System/dolphin-emu/Sys” is the correct location apparently and is somewhat detected by the core, but I doubt it’s 100% for some reasons.
Why I’m sure about this, I tried booting F-Zero GX without the Sys folder, the game is totally messed up, no tracks or vehicles displayed, when the folder is here, it’s working fine, but there’s a couple of visual glitches mostly with texts, minor but not present on the standalone emulator.
So, the wiki is correct, but for some reason the folder is not recognized when reading the core informations in the desktop interface, and I guess that’s why there’s minor glitches, perhaps some of the files are not properly recognized by the core ? I’m no developer so that’s just a guess, still a bit of informations that should be useful to most players trying to play games with the core.