A majority of games are broken with the save state feature. It will claim to create one, but report a "state load failed" error when attempting to load.
It seems that the problem is that some games will create a .ss0 file on the memory card and do work, while others won't create that file and fail. All of them create a 0 byte .png and 0 byte .zs0 file, which also seems strange that they would be empty of any data.
Is this typical behavior from that emulator?