I don’t know how to mark this post as [solved], but I’ll try to make a summary of the lessons learned here anyway:
lr-fbneo-msx needs all MSX BIOS files in on pack named msx.zip in /home/pi/RetroPie/roms/msx/msx.zip
lr-fbneo-msx needs ROM files to be zipped and verified against DAT checksums (the filename and CRC must match)
MSX ROMs that are downloaded together with
lr-fmsx does not work with
lr-fbneo-msx (CRC are different for all files); you have to find the right BIOS files elsewhere.
I still unable to load ROMs with
lr-fmsx (however
lr-bluemsx is a good alternative so far)
In
lr-bluemsx you can use the keyboard in MSX if you add a input_enable_hotkey in /opt/retropie/configs/all/retroarch.cfg or /opt/retropie/configs/msx/retroarch.cfg:
input_enable_hotkey = "tab"
Normally you would press "F1", when enabled you have to press "TAB + F1"
Thank you @mitu and @Folly for your help!
Happy MSXing