Your problem was that you need different kickstart images for WHDLoad, not for UAE. You need those kickstart images in your Amiga setup where WHDLoad can look them for the games which need those. Read the WHDLoad docs how to have several different versions available and how to name them.

Having different kickstarts for UAE won't help you here. But if you want those too, it's possible to make different config files and provide them to UAE when starting it. Can't check just now what was the option, but -f or something. But as said, this won't help the problem you described which is purely just WHDLoad issue.