Yes it does. It literally installs raw ROM files that can be opened in any Mega Drive Emulator directly into your steamapps directory.

But does it give me the right?

IANAL, but yes. If you don't copy something, copyright is not invoked.

In many jurisdictions (AU, UK), it would be legal to copy them to another device you own, such as a hacked PSP, under the "format shifting" exemptions.

It doesn't stop you either.