In MAME4All, I have the right set of ROMs 37b5 and they are working fine. In several games there are either missing sound elements (Donkey Kong) or no sound at all (Zaxxon and Berzerk). In the MAME4All ROM folder, I adder a folder "samples" and added all the samples I have. Still no sound for these games.
The files in the sample folders are all zipped (just like the ROM files).
I figured out my issue. Samples do not go in the ROM folder. They go in the same directory as the ROM Folder. I suppose if I had looked, I would have seen the Samples folder that already existed there.