Here is an even later response. A long time ago (years) the MiSTer never worked with Retrode 2 controllers. Now, for me at least it sometimes works. So that's an improvement.
I've never gotten it to work with just an on-the-go adapter cable. I've only gotten it to work with a powered USB hub (don't have the official MiSTer hub, I use a 10-ish year old powered USB2 hub with an on-the-go adapter which hopefully isn't the source of my trouble).
When it does work, the LED on the front of the Retrode lights up solid for about 50 seconds, then blinks a bit, then dims and only lights up when a controller button is pressed and only then do controller inputs work for me. Not sure why it takes so long, maybe it's looking for something in the cartridge slot? But when the Retrode is plugged into a PC it's much quicker than 50 seconds, maybe more like 10.
When it doesn't work, generally the Retrode LED doesn't light up at all. Sometimes plugging in a different device can trigger the 50 second light up on the Retrode, I've had the most luck plugging in a PS3 controller, sometimes a Daemonbite arcade stick does it too. Does not seem to be affected by a keyboard. But maybe this suggests a problem with my hub?
In any case to use more than one controller I think the Retrode should be set to 4 joystick + mouse mode (edit RETRODE.CFG on the mass storage volume exposed by the Retrode, set HIDMode to 1, careful editing the file because most text editors try to save temporary files on write which will not work, may need to copy it elsewhere then cat back an edited copy). I haven't tried 2 joystick mode with MiSTer but on a PC it actually appears as 1 joystick with two axes and extra buttons. Keyboard mode might be fine with only one player, unless MiSTer supports sharing one keyboard with multiple players?
Also to actually use multiple controllers with MiSTer I had to edit MiSTer.ini and add the following:
Without the ini change, all 4 controllers behaved as if they were the same controller. (Unsure if the newer DragonBox-manufactured Retrodes have the same VID/PID.)
Button mapping is shared between all 4 controllers, remapping one changes the others. Which can be a bit strange with a mix of SNES and Genesis controllers; mapping the SNES controller normally will result in the Genesis controllers being mapped similarly to how Nintendo mapped Genesis 6 button controllers to a Classic Controller on the Wii VC, but in reverse: Genesis A,B,C,X,Y,Z is mapped to SNES Y,B,A,L,X,R respectively. Remapping the Genesis controller in MiSTer to anything else will make the SNES controller mapping weird.
Unsure about controller latency. It seems OK? I guess? At some point I'd like to try something more formal as per
https://rpubs.com/misteraddons/inputlatency but maybe I should just build some Daemonbite adapters...
The above is with MiSTer Main 20210917, Retrode 2 firmware 0.23a.
As per the original idea in this thread, while it sounds super cool to plug in a cartridge and play it on MiSTer, the Retrode's slow cartridge read speed and general flakiness (eg. it seems I have to clean cartridges a lot more thoroughly to get a good dump than would be required for use in an original console) means it'd be pretty impractical. But if you own a cartridge ROM dumper you probably don't mind things that are impractical.
It looks like people have figured out a few things to load ROMs programmatically, unsure how well it works but see the following links: