Snatcher seems to hang in KEGA 0.04b if read ahead option is enabled and you are using a real CD-Rom disc. (Maybe it's a issue related to my specific configuration, but it's a worth mention anyway)
Kega won't run isos from emulated CD-Rom due to the way it fetch the audio data. It relies on digital data extraction. I consider it a really good feature, but the problem is that at least the emulated CD-Rom I tried (daemon tools) won't liked the way Kega tried to acess the data.
Gens only plays the data track of the .bin. Because it doesn't use a .cue, Gens has no idea that there are audio tracks in the .bin. My guess is that using a BIN in Gens would give you the same results as using a lone ISO.
In the case of Lunar EB...
The game contains two audio tracks, neither of which are used anywhere in the game (e.g. you can only hear them if you pop the CD into a CD player). So it doesn't really matter if EB's audio tracks are present or not, or if Gens *thinks* they're present or not.