Physical copies is the way to go. I do not own any roms. I prefer to buy games and then play what i have then buy more.
I'm with you. I have almost every console that was released in America. And I buy the games to collect and have the physical copies. On Virtual Console, I only own Ys Book I & II for Turbografx-CD. At the time, I thought I would never buy a Turbografx-CD. But now that I do have a Turbo CD, I can care less about a virtual copy.
Like Steam, Xbox Live, PSN, Virtual Console, Origin, and every other system that carry virtual games, they could take down the games at any time either due to licensing issues, servers taken down, clear some space, or they believe the games no longer will sell. You don't really own these virtual games, you just bought the rights to play them.