I remember not getting that to work at first.
It requires a set of roms. I dont remember where I got them from but the folder in the BIOS folder was called "MACHINES".
Inside that folder had many folders from "COL", "MSX", "MSX2", "SEGA SG1000".
Anyways, the folders for COLECO-VISION were "COL - ColecoVision" and "COL - ColecoVision with Opcode Memory Extension". Inside both of those folders was the "COLECO.ROM" and a "CONFIG.INI" file. I tried just having the COLECO.ROM alone in those folders, it didn't work. It needed the CONFIG files.
You can probably find it if you search.
UPDATE: Theres a link for an official full stand-alone BlueMSX emualtor that includes the needed files on the LIBRETRO page. https://docs.libretro.com/library/bluemsx/
If you get that, just copy the MACHINES folder and everything inside to your BIOS folder.