VMU trouble

Hello everyone I just recently purchased myself a dreamcast after finding out how easy it was to burn my own games and I have been doing so for the past several days. My trouble stems from all 3 of my VMU's all were new in the package when i recieved them tuesday, and i can save to them just fine the problem is if I want to transfer files between VMU's by connecting two of them everytime I do it I get the message copy failed and I do not understand why. Is it because im using games i burnt myself? Which doesnt make much sense because they save fine. Just wondering if anyone out there has a solution to this problem because it would be greatly appreciated.

Thanks.