In order to get games from other consoles to work, you need to install the additional cores for the consoles the same way that you installed retroarch (Modules -> Install Extra Modules --> genesis_plug_gx, for example). You should already have them appearing in the available list if you extracted "retroarch_with_cores.zip" into the /hmods folder.
When you select a core, there's a description box in the right side that tells you what console it's for and what you need to change the command line for the individual game into, in order to use it ("/bin/md " for example). Do that, re-sync your games, and it should work. Genesis games were only playable for me (as in not too laggy) when I didn't have filters, btw. Ironically, more demanding Neo Geo games ran smoother for me.
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Regarding shaders, I think retroarch_with_cores.zip comes with some, so get that to work first. To use them, get to the in-game retroarch menu, go to Quick Menu -> Shaders -> Shader Passes and set that to 1. Then go to Shader #0, and selecting that will let you browse for the file to load. You should have access to "retroarch\etc\libretro\shaders\" somewhere in the filesystem, so select one of those shader files. Then go back and change "Shader #0 Scale" to 2x, and choose "Apply Changes", and it should work. (You can also tweak the shader's settings in "Shader Parameters")
FYI, that directory exists on your computer in "/user_mods/retroarch.hmod -> retroarch", and that's what gets copied into the system when you install the retroarch mod. You can access that directory and add additional shader files by using file compression software like 7zip, and then you can uninstall/reinstall retroarch to get it into the device.
Regarding additional shaders, the ones I was playing with can be downloaded
here. Be warned that a large percentage of them not only make the game painfully slow, but the retroarch menu as well, which can be super annoying to change back.
The one that I was using for anti-aliasing in the screenshots above is "glsl-shaders/anti-aliasing/shaders/aa-shader-4.0-level2/aa-shader-4.0-level2-pass2.glsl" (after applying changes, you should go back to Shader Parameters and toggle the anti-aliasing weight to the lowest number and apply changes again, otherwise it looks weird). The other anti-aliasing ones are too slow.