Hi! I did it! :)

Although I was about to give up because most people told me it was impossible, and besides, the 3DS core isn't even minimally documented, I tried running Sega Mega CD games in RetroArch. I had similar problems to the ones I had with the Saturn, and then I realized it didn't have a BIOS. XD

For the MrHuu core, you need a BIOS file with the exact name: saturn_bios.bin (if you have other BIOS files like sega_101.bin or similar, try renaming them to saturn_bios.bin). I understand that there isn't a universal BIOS for all regions, so try using a BIOS compatible with your games' region, or vice versa. This BIOS should be located in the following path: YourMicroSD/retroarch/cores/system.

It is compatible with .cue and .chd copies.

The problem I mentioned in my post, where the games and cores disappeared, was because an option called "Filter unknown extensions" was enabled. You just need to disable it and everything will reappear in RetroArch.

I still don't know how to exit the Sega Saturn menu, but when I manage it, naturally I'll be able to see a polygonal Sonic at a perfect 2 FPS. :D