Ok... I was using v1.0.0.03 and the v1.0.0.03 dat all along -- didn't realize it updated -- but it wasn't really related to this issue.
Without changing anything else, I fixed the problem by creating merged rom sets for Ray Storm and Ray Storm J (adding all the Gunlock roms indicated by "merge=" in the dat).
For some reason they don't run as split sets. Even when when roms/hashes are correct in romcenter. I even replaced all three with those in the FBNeo nightly archive. Its just weird to me, because I have other games that are split sets (example: Arcadia and Rapid Hero) that work fine.
Edit: I'm not complaining (love the 1 frame latency), maybe this is a Retroarch thing only?
Edit2: Ha ha ok... I rebuilt my playlist per the sticky and now they work as split sets. I think the problem might be I was using Qt Windows UI to make my playlist.
Edit3: TLDR: using Retroarch's "FBNeo - Arcade Games.rdb" as a database (only option in the Qt Windows UI) doesn't work as well as using "FinalBurn Neo (ClrMame Pro XML, Arcade only).dat" with the regular Retroarch UI.