I don't have any experience except with ZSNES on winXP. So not sure what issues maybe on other platforms. But i can give you some old general info i know of the top of my head that might help.
zsnes 1.36 and bellow operate a little different than version above 1.36, people sometimes perfer 1.36. I personally use both v1.51 and v1.36. I might not of played quite as many games as others epspecially rpg, so I rarely encounted Rom issues on 1.51, but i kept 1.36 for the rare rom issues.
the zsnes menu always came up automatically for me befor loading a rom, unless you load a rom directly from command-line. in that case you can press the ESC [escape] key to bring up the menu. If your on a diff OS and doesnt show for some reason, I'd try running it without forcing any advanced graphic features first and disable vsync and stuff, just to see if ti works.
this is the only command i see in zsnes's config file in the same directory as the exe relating to showing the menu or not, tho theres a host of other gui config options there that can be looked at
; Disable GUI (0 = NO, 1 = Yes)
guioff=0
I could be mixing up console's, but I think it was said that even a very few original game cartridges never had the proper crc embeded in the header or somewere, so they showed up as BAD Rom but worked find just the same... However you applyed a Patch, so It will probably show as BAD Rom no matter what, unless you edit the internal hash in the rom to match. I don't know the specifics of how to do that, i never needed to look into that. but if it works just the same the Bad Rom messege can probably just be ignored... On that same note, since you mentioned your patch fix in the other thread, I never actually read the part of the help file i posted, but it refered to the FAQ that stated similar to what you said, except that IF the Patched rom doesnt work, you can either Add a header to the Rom befor patching assuming the IPS has a header so it matches, or Remove the header from the IPS to match the ROM, So it seems to work both ways. So if you did it the opposite and removed the headers from your Rom and Patch, I don't know if that maybe a quick fix the Bad Rom warning tho probably irrelavant for running the game anyway lol
Alternatively the warning may also disappear if you Don't patch it and just use ZSNESs auto patch feature quoted in the help file. you just need to leave the IPS in the same folder with the same name as the rom, an just make sure headers match as befor probably. But i have no actuall experinece with it so dunno if the warning may still appear.
first thing that comes to mind regaurding the Save issue, is to make sure ZSNES has Write permission on the folder location your using for SaveStates, if you didn't specify a folder, i think it usess the same folder the roms are located... Or perhaps if you didn't specify a folder And you ran it from Command-Line without changing your root directory, then perhaps theres a chance its trying to save in whatever you have the Home path set to on the Command prompt.
oh.. I also am not sure if your refering the Emulator SaveStates that i just mentioned above, or the actuall Ingame Save option I think they refer to it as SRAM. I believe what I mentioned above also goes the same for SRAM but they use a .srm extension. but theres more optional config settings for SRAM, you can take a look at in the .cfg config file or help files.
if something still doesn't add up, do tell