I did some further testing and it appears that you need the renamed (bios_U_CD.bin) bios in the same folder as the roms. I edited my es_systems to only show .cue files so they don’t show up in the rom list.
The reason I prefer this emulator is due to an integer scaling issue with Picodrive. Any render resolution higher than 480p results in integer scaling not working. This is essential for using scanline overlays.
This issue is on the Picodrive GitHub (started by myself) but still has not been corrected unfortunately. I also prefer Genesis-GX due to better accuracy and compatibility, especially on the Pi 2.