what version are you using ?
SSBB NTSC U?
USBLoaderGX 126x ?
You don't need to enable Ocarina to load gameconfig, only the hooktype to VBI
And of course have the gameconfig file on either the root of your SD card or on the folder where you store your cheats, but SD root is the easiest and safest place to put it to be sure it's loaded correctly.
Old version of the loader required Ocarina to be enabled (and thus, required at least one cheat code to be enabled too).
I don't know how ProjectM is working, if it's only gameconfig or also ocarina cheats being loaded. If it requires ocarina, then enabled it too, and don't forget to select the cheats you need to enable.