MSU-1 games are modded SNES games. AFAIK the only emulator in Recalbox that supports them is "lr-snes9x".
The short version is that you need to put the files in the "roms/snes" directory, then update your gamelist. After that, configure that specific game to use the "lr-snes9x" emulator.
There are full guides to MSU-1 on the Zelda MSU-1 site and on the Retropie site. I don't know if I'm allowed to link to them, but you should be able find them with a search engine.
Good luck. 
You need to put the 8bitdo Ultimate controllers into Linux mode before they will work with Recalbox. If it's a wired version, you do that by holding down the B button when you plug it in. If it's the wireless version, I believe you hold down home and B. The instructions for switching modes are in the little manual that came in the box.
@boecko The short version is that Recalbox does not support compiling and adding your own emulators.
The longer version is that to add it to the UI, you need to go into the EmulationStation config directory edit the config files there to get it to show up. But again, this is not something that is a supported thing to do as far as Recalbox is concerned.
I can confirm that I'm having the same behavior... I installed a fresh copy of Recalbox on an sd card, booted up on the GPI Case 2W, and loaded it with a BIOS directory and Dreamcast ROMs.
I fired up Tony Hawk 2, and on the way down the first ramp in the hanger level, I got a hard freeze. Holding down hotkey and start did nothing, so I had to power off.
So, it does appear that Dreamcast is freezing on the Raspberry Pi Zero 2W.
@simonsays If you're new to Linux, the easiest thing to do is have one SD card for Debian, and one SD card for Recalbox, and reboot with the other card to switch between them.
EmulationStation does not support running at the same time as the desktop. It is possible to install both on the same card, and type "startx" at bootup to run the desktop or "emulationstation" at startup to run recalbox. But the actual installation is very advanced, and it complicates getting help with questions. So as I said, the easiest approach is just to have two separate SD cards.
I'll try to test this when I get a chance. I have a GPI Case 2W with a Zero 2W installed in it. I don't remember which software I'm running on it though. To accurately test I should install the latest Recalbox. It will be at least a week before I can do that, but if I get a chance I will post again with my results.
@vithouse82 Are you overclocking? Flycast might be too heavy for an overclocked Zero 2W. I recommend going back to stock clock speeds to see if it fixes the problem. You might also try putting a small heatsink on the processor (it will have to be small enough to fit in the cartridge).
In short, the most likely problem is heat. Since the GPI Case has no active cooling, there's a limit to how far you can push it. The Raspberry Pi will throttle automatically when it gets to maximum temperature, but inside the cartridge you could still get heat buildup.
MSU-1 games are modded SNES games. AFAIK the only emulator in Recalbox that supports them is "lr-snes9x".
The short version is that you need to put the files in the "roms/snes" directory, then update your gamelist. After that, configure that specific game to use the "lr-snes9x" emulator.
There are full guides to MSU-1 on the Zelda MSU-1 site and on the Retropie site. I don't know if I'm allowed to link to them, but you should be able find them with a search engine.
Good luck.