@Muteki correct. These files are mostly copyrighted (there's a few cases where vendors have permitted distribution), so we can't install them automatically.

Some systems run without. Eg. Zx spectrum, as the bios is included due to being permitted by the copyright holder (in this case Amstrad). Or because they use a replacement copyright free bios. Eg. There is one for the Amiga for example.

@TimZett I think @dankcushions posted a link (maybe in another topic) to the Shader docs in Retropie's documentation - https://retropie.org.uk/docs/Shaders-and-Smoothing/.

Oh, I forgot to mention...

To play ColecoVision with blueMSX core you'll also have to get the BIOS, as pointed out in the docs: https://retropie.org.uk/docs/Colecovision/#lr-bluemsx-bios

I've updated the OP with this info.