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I also noticed that ActRaiser 2 does not get past the intro, but again, that's probably just zsnes itself.
You can use the pal version to get past the intro, make a savestate, load the NTSC version and load that savestate. Or just use the PAL version.
The other issues are problems with ZSNES and cannot be fixed by me.
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Is there a way to exit directly to the dashboard from the in-game menu? I've tried looking through all the options, but I can't seem to find it (if the option exists).
If you hold down both triggers and click both analog sticks (or press back and start) all at the same time, it will reboot the Xbox back to the dash. Otherwise, you have to exit the game, then exit the emulator to return to the dash.