No need to have empty zip files, my roms folder only have the CHD files and three bioses (neocd.zip (210 kb), neocdz.zip (209 kb) and neogeo.zip (1556 kb)) and their names are cleaner, like Art of Fighting (World).CHD, this is because I use Hyperspin+Rocket Launcher.
In Quick Menu, set media type to cdrm (this won’t affect other machines MAME emulates, all games should work, both zips and CHDs).
The above setting can be changed if you open any game MAME can emulate, open something like Final Fight, enter Quick Menu and set the above, save your config and try loading your NEO GEO CD game.
Any wrong file, like a different bios set for another emulator can cause the crash as well.