Just in case anybody has the same issue, been able to solve it by:

checking that when the BIOS directory was set, the game wasn't loading. Removing it made the games load, with the warning about setting BIOS directory; went to the BIOS directory and realized that I was so lazy that I had like 20 repeated PSX BIOSes, removing them and leaving only the ones expected by the core did the trick.

Now I am able of reducing by 10 GB my PSX set and enjoying Retroachievements for PSX !

Thanks a lot, @mitu ! =)