You said the image became corrupt. That shouldn't happen. I'd suggest reflashing again, you may never know what hiccups might come up. But download the firmware files again just to be sure.
Mame doesn't support sega arcade games at all if I recall correctly. The wiz build uses an older version of mame which definitely doesn't support sega arcade.
Final Burn is a NeoGeo emulator.
Here is the Wiz archive. GINGE is sort of a GP2x emulator. You can play most games through it, including cave story, which actually has been partially ported to the wiz (I don't remember the details, I think it's in the archive too)
The Arcade version ran on the SEGA arcade systems, which the MAME does not support. The 32x support is not yet implemented in picodrive. You're best bet are the turbografx and mastersystem versions.