Open some cue files in notepad or some text editor, that will probably answer your questions.
Probably some cue files don't work for you because the paths are absolute in them, ie C:\music\concert\bla.wav, but you saved the files to another path. Or the cue file points to wav-files, but you still have them in flac (or whatever) format. Or you or someone else renamed the files and the cue file wasn't updated.
M3u are playlists. You should be able to load them with most audio players and then the player will load all the songs. I didn't know that you can use them to burn. Anyway, if you have a cue file and an m3u file, use the cue file to burn, beauce they are meant to be used to burn.
M3u files are also just text files, so try to open some of them in notepad and have a look at them.
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