You must use the MAME section, NeoDS is designed to run converted MAME ROMs. NeoGeo ROMs won't, or at the very least shouldn't work; you might get lucky with a ROM that's identical in its MAME and NeoGeo dumps, but it's pointless when you can just get working ROMs from the MAME section.
Marvel vs. Capcom doesn't get converted because
it's not a Neo Geo game. NeoDS emulates the Neo Geo AES/MVS, and nothing else.
EDIT:
These are Neo Geo games.