... Okay, I figured it out, and it's because they didn't work the same as the other videos and snaps I've set up.
The only other videos and snaps I've gotten around to setting up are those for MAME and Daphne, where the snap/video's name is the same as the rom file.
I was naming the snaps/videos for the PC games the same as the shortcut/executable, which is apparently wrong, as it needs to be the same as what the game is named in Mala's list.