zippped or unzipped is up to that particular emulator, as that is the thing that is loading in the ROM image to run it.
You didn't mention which emulators you're actually using, so we don't have enough info to answer your question.
Soo, this question isn't really about MAME or Mala, but would be emulator specific.
I personally would leave everything zipped. If an emulator isn't able to handle something as basic as unzipping a file, it might not even be worth bothering with! The emulator itself should also tell you (in its docs or as an error when you're running it) if it is unable to find the files it needs.