I have KOF 94 - 2003, and in all of them, I can play as the bosses.
In 94, when I beat Rugal, it simply plays the Ikari ending.
On 95 and 2003 [unless there's a combo I don't know of], I get the edit endings.
Goenitz has his own ending in 96.
Orochi, I just team him with Kyo and Shingo.
98: Rugal, Vice, Mature.
99: Krizald with either Kyo or Iori; if I set it to Team, and solo Krizald Form 2, I can sometimes get the K' team.
2000: Zero with either Kula or Kyo+Iori...cool trick is to have Ramon, and use Neo & Geo as Maniac Strikers. Call them at the start of the match against Zero, and just keep walking back. He'll be stuck in a loop, just trying to kick. You draw, and win, with your other team mates, or, you use a full screen fireball the last 2 or so seconds, and do tick.
2002: There are no endings, but I like Rugal.
HOWEVER, in 2001, it goes nuts. If I use DIPS, after the 1st fight [sometimes second], it just freezes. When using Original Zero, I can sometimes have O. Zero or Igniz as my foes, and the game freezes. If I use Igniz, I can usually get to the blip cut scene, but then, I'll refight fight 6, and the game will just loop. 2001 can't be the only KOF where I can't play as the bosses, and win the game. can it? I'm using "the alternate set." Do I need another rom, or can one simply not beat the game with the bosses?