In all the official (ie not pirated) Master Levels releases (with the exception of the PSN version, which can only be attained through either piracy or a great deal of technical effort), the Master Levels are 20 separate WAD files. I always assumed that people running WadSmoosh had legit copies, and I don't support the masterlevels.wad version.
There are two maps included in TEETH.WAD, MAP31 (the express elevator to hell) and MAP32 (bad dream). So WadSmoosh is probably croaking on your handmade version of TEETH.WAD because it doesn't have a MAP32. Though I can't guarantee it won't complain about other stuff if your WADs are all manually extracted from some unsupported thing.
Edit: It also looks like your version of doom.wad doesn't have Episode 4. If you don't actually care about having it in the episode list, you can ignore those errors.