Get a verbose log and post it on pastebin.com, then provide the link. Looks like missing or misplaced BIOS file(s).

Not sure from where the lr-fba-neocd comes from, but RetroPie configures the FBNeo libretro core as lr-fbneo-neocd. Also note that FBNeo doesn't support CHD as format - see https://github.com/libretro/FBNeo/tree/master/src/burner/libretro#neogeo-cd-doesnt-work-why- for the supported formats.

@BuZz After waiting for FBA to get neocd support, I finally got around to trying it. It doesn't support chd and it doesn't support cd audio. Any chance for a binary of lr-mess in the future? It takes over a day to compile and tends to fail the last time I tried, and atm it seems to be only emulator with proper neocd support.