This actually goes all the way back to Radarscope. On the Radarscope boards and DK 4-board stack, there is an empty fifth program ROM socket that appears to have been intended for a diagnostic EPROM (which has never been documented) which would be accessed via a service switch (which has also never been documented).
The switch and the EPROM are actually known to have existed, or at the very least intended, because there is an input port for this mystery service switch, and instructions in the code (at $0075) to jump to location $4000 in ROM space if that switch is pressed. Since the game code ends at $3FFF and is physically limited to that address, this could only be a reference to a location on a fifth EPROM.
In MAMEs prior to 195, hitting the service switch (F2 on the keyboard) would add a credit, which is the behavior we know from the PCB. In 195 and later, this function was demoted to a secondary service switch (9 on the keyboard), and now the missing mystery service switch is the primary (F2) one. When you hit it, the switch behaves "correctly" by crashing/resetting the game, because it's trying to jump to $4000 in ROM space, which isn't there.
If this diagnostic ROM ever actually existed, it was only used internally during development and was never part of any final release. (And by the time the two-board stack came out for DK, there was no longer even a physical socket for it on the PCB).
MAMEdev is just being thorough. The code explicitly implies another EPROM chip, in addition to there being a physical socket for it on the original boards. They know that it was there at some point, or at least planned, so they hooked up the dkong driver to it.
Zero chance that it ever gets found or dumped though, so enjoy the error message forever.
