it's me again. Seems that no other has the same behaviour... Anyway i always get that "missing file..." error. Normally that stands for incompatible rom version or format.
I had the same problem. The rom explorer fetched all the roms from the ~/pimame/roms/mame4all/ folder so they showed up in the piplay menu, but the emulator itself was trying to open it in the ~/pimame/emulators/mame4all-pi/roms/ folder.
Solution: edit ~/pimame/emulators/mame4all-pi/roms/mame.cfg and change the "rompath" target to /home/pi/pimame/roms/mame4all
Can you confirm the location of the mame.cfg file? on my install it's in the /mame4all-pi directory. I copied it to the /roms directory and removed it from /mame4all-pi, but that didn't help and actually shows an error when I quite mame.
Can't get the damn thing to find my roms when I type ./mame but works when is do ./mame invaders so it must be a path issue.
Why are you moving the cfg file? What exactly is the problem you are seeing? You may need to edit the path inside mame.cfg to make sure it's pointing to your correct roms folder.