What version of DeSmuME are you using?
Does your movie, upon starting with Read+Write, display "
Movie stopped playing." in red in the message log?
If the above happens, pausing near the end of the movie and save+loading state won't work. Your movie file
straight up won't be able to be edited. This will happen pretty frequently with DeSmuME 0.9.11, which is why
I recommend to use DeSmuME 0.9.9.
Unless you have a savestate stored from earlier in the movie which is able to be read+write'd, your movie is null and void and can only be hex edited.
To be able to test your savestates, I'd recommend setting a hotkey to Read+Write in Hotkey Config > (open scrolldown menu) > Movie and assigning an hotkey to Read+Write. After that happens, load your movie, and test each of your savestates. If the savestate doens't work, you will get the error message and the frame counter (View > HUD > Display Frame Counter) will say 'No Movie', in which case, no matter what you do, continuing on this savestate is useless.
If the above issues don't happen and you still can't read+write, check if the movie and savestate you use match (as in, the savestate was done on the movie you are currently doing.) Also check if you've done the savestate
after the movie ended, in which case Read+Write will obiviously not work.