Did you name the Amiga 500 Rom - kick34005.a500 ? Then put that and the uncompressed skick files in the required directory?
If I recall correctly WHD may not have liked my 500 ROM image (pulled from my actual 500). I think I had to find one from less then reputable sources...
For the 1200 ROM's, as far as I know you don't need to install those ROMs if those are the native ROMs in the computer. At least that's the case with WHD running on my 1200. I just needed A500 ROMs... Not sure if UAE changes things...