With power supplies, for any type of electronics, the voltage has to match. If it's too high, it could fry the components its powering.
But current is different, if it's higher than the components need, it's completely fine. It's just like putting a power supply in your computer with a higher wattage than it needs, the components only take the current they needs.
So, for your NES, it doesn't have to be exactly 850 mA, just at least. But it does have to be exactly 9v.