Bezels (currently only supported for arcade games) must be named exactly like the arcade ROM file and placed in the game image directory:
C:\Users\#####\AppData\Roaming\polycade\img\arcade[GAME NAME]
For example, the bezel zip for Centipede would go here:
C:\Users\#####\AppData\Roaming\polycade\img\arcade\Centipede\centiped.zip