Do not use 5.0.0.CR2 - it is a very old candidate release.
You should be using 5.1.0.GA instead.
As for the problem you are experiencing, the JBoss team kept those of us tracking the various beta and CR versions of JBoss AS 5.0.0 on our toes by changing the names and locations of files in each prerelease. Netbeans looks for key files to ensure that the directory you gave it is a valid JBoss AS installation. I suspect that Netbeans will look in the correct locations for JBoss AS 5.0.0.GA, 5.0.1.GA and 5.1.0.GA. But it cannot find the files in 5.0.0.CR2 (or an of the other prereleases) because the files are in the wrong location. So using 5.1.0.GA should solve this.
By the way, Eclipse provides a config file that can be modified to reference the key files, but the last time I looked at Netbeans the file locations were hard-coded.