First of all, the combined software lists / MAME mode is not really what you're looking for. It's pretty complex to setup, RAM hungry, MAME does not export all data compared to the single files etc...etc...So, you should keep one profile for MAME and one profile for each software list.
In the complex mode you need to setup system default paths which have to be unique, distinct for each software list and they have to be (!) rompaths.
now to the general way (no matter what mode you're using) of storing sets:
rompath\setname\file 1 ... file n for decompressed sets
rompath\setname.zip (or .rar/.7z) where the archive contains the singe files for the specific set.
A chd file is a part of a set...a rom is a part of a set and a sample is also part of a set (however samples are placed in samplepaths).
Now if you have a rompath c:\roms and a set XYZ which contains let's say 2 chds a.chd/b.chd and one romfile r.bin and you follow the above method you end up with
c:\roms\XYZ\a.chd
c:\roms\XYZ\b.chd
c:\roms\XYZ\r.bin
or compressed
c:\roms\XYZ\a.chd
c:\roms\XYZ\b.chd
c:\roms\XYZ.zip (where the zip holds the r.bin file)
CHDs are already compressed containers...theoretically you can put the in the archive too, but it doesn't make sense, so they stay at the rompath subfolder named after the set.
In your saturn example you most likely mix up software lists (since I think the saturn one only contains chds, not the bios set and vice versa)...so of course it complains about unneeded sets...since they simply belong to a different setup. Any file which is not part of the currently loaded database is "unneeded".
So...keep a profile for each software list / MAME and keep the rompaths separated. MAME of course can combine rompaths...since MAME doesn't really care about what is stored in the rompaths...it simply looks for hash matches and tries to collect the files.