Hi! The Retro Games folder contains RetroArch emulators (cores). There exist a PicoDrive RetroArch core so you can either create a similar menu for this core following the instructions a few posts above: Picodrive (standalone and libretro core) Mega Drive emulator
If you still want the PicoDrive standalone emulator to appear in the Retro Games menu ssh to GameShell and do:
curl -sL https://github.com/pleft/picodrive/releases/download/v1.92-gameshell/PicoDrive.tar.gz | tar -xvz --directory ~/launcher/Menu/GameShell/20_Retro\ Games/
And here are icons for most consoles: