So maybe we start with merging. Either all or none.
And I think if you're talking about non merged you most likely speak of split merged....since unmerged is really really a waste of hd space and actually it's not what you might think of.
not merged or unmerged: each set got all the files it needs in it (folder or archive 7z/zip/rar). So clone sets contain the parents again in them.....a waste of bytes.....but actually that's not the full truth since sets usually also require bios roms and since some time ago also device roms....so if you really want to talk about fully stand alone not merged sets, you'd need to double/triple/etc such files and put them in the archives, too....as you can see....there is no real need to even talk about not merged/unmerged sets.
split merged: the most common storing method since you a) have a set for each set, so you have a better look on it and b) there are no (or nearly no) dupe files since the clone sets only contain the files which are unique for them. "or nearly no" because we don't support clone of clones...so there are cases where clone sets would be a able to share files, too but they don't because the parent doesn't use it
full merged: also pretty common....but not my personal favourite....only parent sets exists and they hold each clone in it, too.
When we talk about chds, it's the same....chds are simply a part of a set. A set is a collection of roms and/or samples and/or chds and they are always stored: rompath\setname\file 1... file n for decompressed sets or rompath\setname.zip (.rar/.7z) for compressed ones. Now in theory it would mean that you put the chd in the zip file too, but since they are already compressed containers, so it doesn't make much sense...that's why you put them in a folder named after the setname. Keep in mind, the chd filename doesn't need to match the setname.
For full merged sets it would mean that you have a rompath subfolder named after the parent set which holds all chds for the parent and its clones....and you got a zipfile somewhere in a rompath with all rom files.
You can keep a folder for chds as you mentioned in your last post but that won't fit with the softwarelist combined mode. In a normal clrmamepro profile, you can of course keep as many rompaths as you like and spread the sets over them as you like.
Finally, in "normal" clrmamepro mode, you can also use system default paths which allows you to split your collection by bios...but again...then you need 1 assigned rompath per BIOS...So for example SegaSP sets would have a rompath with folders for the chds and the zip archives for the roms.....
It's basically up to you...what you prefer.....as soon as a combined SL mode or sýstem default paths are used, you will be limited though.