Trying to recall how I did things... I think I remember how.
In the romcnv folder for Capex, run the 'cps2conv.bat' and select the specific ROM you want to make a cache of. Or, to make things easier if you have multiple games, run 'cps2conv_all.bat', and select the folder where they're all stored.
After doing so, put the cache files in the 'cache' folder of Capex. Likewise, put the ROMs in the 'ROMs' folder. You have to have both in order to run the game.
Now, as I recall a few years back with the original CPS2EMU for the GP2X, I had some difficulty back then as well. After messing around on Google for a couple of hours thorough and deliberate research, I came to the conclusion that using different ROM files spit out different cache files. While it may sound like a "DUH!" thing to say, let me explain:
I had the (U) version of MvsC and made a cache of it, but the emulator always spit it back out for some reason (I thought 'cause it hated me). After finding and trying out the (E) version of it, I saw that it had made a larger cache file than the (U) version did, and the emulator was happy, so it made me happy by letting me play the game finally.
So, what I guess I'm saying is... try more than one version of the game to make the cache file for.
Hope this helps at least one person!