The first step in these situations is always to run MAME from the command line to see what type of error message you get (assuming log.txt from RetroFE doesn't offer any suggestions as to the problem). In your case I assume you may be lacking some of the chd files required by several of the CPS II and CPS III games.
As for your second part: MAME uses the following command structure for arcade games:
mame64.exe <machine>
e.g.
mame64.exe pacman
The same setup can be used for consoles etc., but now you probably want to load a game as well:
mame64.exe snes sturric
If you don't want to use the software lists for consoles, you can also specify a ROM file, but then you need to tell MAME what to do with it, like place it in a cartridge slot:
mame64.exe snes -cart "C:\RetroFE\collections\SNES\roms\Super Turrican.smc"
Hope that helps.