What @jroweboy said. But I'd like to add that it's very hard to tell if a problem is caused by actual bugs in the emulator or due to the missing files.
We often have cases where users report strange issues which cause us to review code and attempt to reproduce the problem. Later we find out it's a false alarm simply because the users did not dump these required files.
For the future this means: If you get that error you are on your own and we can't provide help / support for you. The message box will probably changed to allow you to keep the game running at your own risk though (emulation problems might arise).