Hey!
If the disksys.rom file is in a path that contains a special character, FDS games will fail to boot on Windows.
As a test I moved the BIOS in a "é" folder on my desktop and changed Settings > Directory > System/BIOS path in RetroArch:
[INFO] [Environ]: SYSTEM_DIRECTORY: "C:\Users\B-S\Desktop\é".
[libretro INFO] Custom palette path: C:\Users\B-S\Desktop\é\custom.pal
[libretro INFO] custom.pal not found in system directory.
[INFO] [Environ]: SET_PIXEL_FORMAT: XRGB8888.
[libretro INFO] FDS BIOS path: C:\Users\B-S\Desktop\é\disksys.rom
[INFO] [CONTENT LOAD]: Removing temporary content file: D:\programmes\RetroArch\cache\Zelda no Densetsu - The Hyrule Fantasy (Japan).fds.
[ERROR] [CONTENT LOAD]: Failed to load content
Full log: retroarch_nestopia.log
It works fine on my Linux Mint VM however.