Most of the time you just need the CPU/Display roms. You might just miss some sound callouts/music if they were added in a later sound version.
Color DMD Reuses and connects to the original DMD board. Its' software just recognizes the frames from the game and replaces them with the colored frames in real time.... (You still need display roms)
Most Data East/Sega/Stern games actually have 2 rom sockets on the back of the dmd but only use 1. Or like with Star Wars, early release machines used 2 2MB chips and then later consolidated to 1 4MB chip leaving the socket empty.
Here is a video of me installing my ColorDMD in Jurassic park which is pretty much the same as Sopranos so you can see how it goes in.