I have the same issue here, it seems like SRAM isn't implemented yet for Sonic 3 at least.
If you want to get S&K + S3 through software lists, you must use this command line (here for the Japanese version):
mame64.exe megadrij -cartridge1 sk -cartridge2 sonic3j
If you don't want to use command lines, you can use my front-end Negatron (link in my signature) to do it in 3 steps:
- select Mega Drive as the machine by right clicking on its entry to display the machine configuration pane,
- select S&K as the game by clicking on the "List" button first, this will show a 2nd cartridge parameter in the machine configuration pane.
- Click on the 2nd "List" button and double-click on Sonic 3 to launch MAME.