gleydsonpr,

It's been a long time ago when I installed this application.
As I understand you have installed cps2gui using the application manager. Then there is no need for cps2emu tar.gz. This file has the same content of the deb you already have installed, but also contains the sources.

There is no obligation to keep the roms in /home/user. It was the case in older versions afaik. I do have my roms in a CPS2 folder in MyDocs. This map contains the subfolders state, cache, hi and nvram

If you use cps2emu from the command prompt, make sure your are in the same directory as your roms are, else it will fail.

So in your current state you described (including created cache), try:
Good luck and please post the error message if it still fails. Moving the roms to MyDocs should be the next step.