you aren't missing anything, yet. Right now it is slooow when loading that many games (I have about 6000). There are 4 fixes that should be releasing soon (it's not where I want the menu to end up, but it's a start).
1) alphabetization. Hooray!
2) still has to grab all of the filenames (slow), but only pre-loads what will fit on your screen (faster)
3) 'quick-skip' 1 whole screen worth of roms by pressing left or right
4) caching. I have built a script that will build a cache file of all of your roms. This is a much faster way than grabbing all of the filenames from a folder (see #2). it takes only about 2-3 seconds on my system to load all of my games through this method.

Where I would like to see it go?
I plan on building a letter skip into navigation. My thoughts are to have #+A-Z at the top of the menu, you can then select a letter and jump directly to that section of your romlist. I don't think that I will expand it as far as advmame has (where you can type muliple letters), but we'll see. It depends on what the code is telling me when I get into it. You have to remember, that we aren't even at a full 1.0 release of piplay yet, things are constantly evolving.

python has this weird problem with dictionaries where it doesn't keep them in the order that they were added. you have to go through and call a sorted method to get them to come out the way you want. it was probably just an oversight when they first posted it. Generally speaking, when testing this kind of stuff, you usually have only a handful of roms in your test directory so that every time you make a change, you don't have to wait for everything to load up again.

in the meantime, you can use the .7.10 version. It's not as pretty (main menu looks like a dos text game) but it uses advmenu and a couple others, so the menus are all alphabetized and whatnot.

Nice that sounds awesome. I can't wait to see the finished project!

I am so jealous. Growing up, we had one of those galaga units at my church. I was awesome at it. wow, such nostalgia. much awesomeness.

yeah, for pimame menu, you basically need up/down/left/right/esc/enter. That's pretty much it for navigation. All of the emulators have config files that can be used to change any keys for in game.