I've been having exactly the same issue as kk0nrad, except on WinUAE. I get to the SMB levels, it shows the screen briefly and then goes black, with the music playing in the background.
I originally thought it was a save state issue too, so I replayed from scratch without saving and got the same issue when I reached level 5. I've also tried with different versions of WinUAE. So not sure what's causing it. On the plus side, I'm really good at the game now XD
I had a friend run a save state and the WinUAE debugger shows it's looping through 3 different exceptions (30, 26, 27). If that helps at all.