hi files are only created when the game exists in hiscore.dat.
iirc most neogeo games are supposed to support hiscore saving through their eeprom instead, however i think that support might also depend on selected bios.
Edit : i confirm Metal Slug 1 is properly saving hiscores in eeprom for me, i'm using "MVS Asia/Europe ver. 6 (1 slot)" bios, if you are using another bios then i would expect that bios is somehow missing the hiscore-in-eeprom feature.