re - save states in CDs. All of what Carcharius said is true. Backup RAM is functional which was the "normal" way that real Sega CD systems saved games. You'll have to use that.
re - controller mapping. As I've said before, if you have played a game previously with GensXPort, then the old mapping will still be laying around on your hard drive and NeoGenesis will try to read that. This will *only* happen once (at the most) for each game you've already played in GensXPort. Once you have set the controller mapping for a game, it will be saved and overwrite the old GensXPort mapping. If you're really hard-up on this issue, then go to E:\SAVES\NEOGENESIS and delete all the *.KEY files in that directory. Load up NeoGenesis, go to the Controller Configuration from the main menu, set up some defaults, and that's what will be used until the next time you change it (either from the main menu or from within a game.)
The XBE was already XBEPatch-ed.
It reads ROM games across Samba. Yes, either rename the files from *.BIN to something else or just ZIP up your ROM files.