For me, it sometimes locks up when I'm at the end of a stage and then when it tries to load the other level. It would get stuck at the stage ending screen after I tell it to load the next level and then I just hear the music still playing. Required to reload the ROM when that occurs.
May also occur when trying to load a level when at the level select screen.
Sometimes, it just fails to respond when I try to enter a level.
This should be a known issue.