all that remains in the GP32's internal memory is the firmware - so yes, you need to have all your emu's/roms/mp3's/porn on the same SMC. you can have more than 1 card though and have different things on them (though I've not yet felt the need to shell out for a second one)
note, there is one exception to the "rom format" thing - the emulator Xcade needs special format roms to play it's games, the download comes with a converter tool for it though. obviously, this is pertinent only if you intend to use this particular emu, it's not been the case with any others yet (xcade runs some old arcade games: pacman, mspac, space invaders, donkey kong, a few others)
also to note - only a few of the emulators support zipped roms so far (GPengine, fMSX32, maybe a couple of the NES and SMS ones.. not sure off the top of my head)