For Neo Geo it could be that you don’t have the bios neogeo.zip. If you do place it as it is in it’s zipped form in the same folder as your neo geo rom folder. I do see that some rom sets for Neo Geo AES have their own bios files included to the rom zip file. There’s also Uni-Bios (uni-bios_4.0.rom) for neo geo. For AES roms you can change the versions from arcade to console, console has extra perks to them.
Reddit Forum /roms has info on rom sets as I believe we can not link rom places in the forum.
As a game recommendation give the Metal Slug series a try. Start the the easiest Metal Slug 2 (mslug2)