C:\RetroFE\Roms\ColecoVision\roms
Extension .7z
Your log file doesn't show you entering the Coleco collection, so I cannot check what actually happens there, but according to the following line in log.txt
[2019-11-25 18:41:44] [INFO] [Configuration] Dump: "collections.ColecoVision.list.extensions" = "7z,col"
RetroFE should look for .7z and .col files, so that part is fine.
I do notice the following line in your log.txt file though:
[2019-11-25 18:41:44] [INFO] [Configuration] Dump: "baseItemPath" = "z:\retrofe\Roms\"
For SNES, you override that path in your settings.conf:
[2019-11-25 18:41:44] [INFO] [Configuration] Dump: "collections.Super Nintendo Entertainment System.list.path" = "ROMs\Super Nintendo Entertainment System\roms\"
You don't do that for the other collections. Might it be that based on the current settings it's looking for roms on your Z drive?